Mean Variance Analysis of Asian Hedge Funds

Yongchang Hui*, Zhidong Bai, Kok Fai Phoon, Wing Keung WONG

*Corresponding author for this work

Research output: Chapter in book/report/conference proceedingChapterpeer-review

Abstract

In this chapter, we recommend the use of both the mean-variance (MV) rule and mean-variance-ratio (MVR) test to examine the performance of investment assets. We illustrate the approaches by investigating the performance of different Asian hedge funds over an entire sample period as well as over sub-periods that may be described as boom, crisis, and recovery in the recent past. The MV criterion suggests that the largest mean fund, the smallest standard deviation fund, the largest mean-variance ratio fund, and the largest Sharpe ratio funds outperform the S&P 500 from the viewpoints of either risk averters or risk seekers. Our MVR test results support the inference obtained using the MV criterion. This finding helps investors make informed decision when investing in Asian hedge funds.

Original languageEnglish
Title of host publicationHandbook of Asian Finance
Subtitle of host publicationREITs, Trading, and Fund Performance
PublisherElsevier Inc.
Pages461-482
Number of pages22
Volume2
ISBN (Electronic)9780128010631
ISBN (Print)9780128009864
DOIs
Publication statusPublished - 28 May 2014

Scopus Subject Areas

  • Economics, Econometrics and Finance(all)
  • Business, Management and Accounting(all)

User-Defined Keywords

  • Capital flows
  • Central banking
  • Complexity
  • Development
  • Financial markets
  • Fund management
  • Growth strategies
  • Hypothesis testing
  • Internet bubble
  • Mean variance ratio
  • Product structure
  • Prospects
  • Prudential policies
  • Real estate investment trusts
  • Sharpe ratio
  • Uniformly most powerful unbiased test

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