ワーキングペーパー

数量ファイナンス

F-series

作成:

番号:CARF-F-073

Selection and Performance Analysis of Asia-Pacific Hedge Funds (Revised in November 2007, Published in “The Journal of Alternative Investments”, Vol.10-3, 7-29, Winter 2007. )

著者:Takeshi Hakamada, Akihiko Takahashi, and Kyo Yamamoto

Abstract

This paper studies portfolio selection and performance analysis of hedge funds located or invested in Asia-Pacific. It investigates the characteristics of the funds' returns and recommends optimization methods to create a 'Fund-of-Funds'. The returns of the hedge funds are then decomposed into asset class factors. Finally, portfolio optimizations and performance analyses are integrated to show how these methods are utilized in practice.