Mean Variance Analysis of Asian Hedge Funds

Yongchang Hui; Zhidong Bai; Kok Fai Phoon; Wing Keung WONG

doi:10.1016/B978-0-12-800986-4.00024-8

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 proceeding › Chapter › peer-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 language	English
Title of host publication	Handbook of Asian Finance
Subtitle of host publication	REITs, Trading, and Fund Performance
Publisher	Elsevier Inc.
Pages	461-482
Number of pages	22
Volume	2
ISBN (Electronic)	9780128010631
ISBN (Print)	9780128009864
DOIs	https://doi.org/10.1016/B978-0-12-800986-4.00024-8
Publication status	Published - 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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10.1016/B978-0-12-800986-4.00024-8

Cite this

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title = "Mean Variance Analysis of Asian Hedge Funds",

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.",

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author = "Yongchang Hui and Zhidong Bai and Phoon, {Kok Fai} and WONG, {Wing Keung}",

note = "Funding Information: We would like to thank the editors Greg N. Gregoriou and David Lee Kuo Chuen for their substantive comments that have significantly improved this manuscript. The fourth author would also like to thank Professors Robert B. Miller and Howard E. Thompson for their continuous guidance and encouragement. The research is partially supported by grants from North East Normal University , National University of Singapore , Singapore Management University , Hong Kong Baptist University and the Research Grants Council of Hong Kong . The first author thanks the financial support from NSF China Grant 11171057 and from PCSIRT . ",

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N2 - 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.

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KW - Complexity

KW - Development

KW - Financial markets

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KW - Growth strategies

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KW - Internet bubble

KW - Mean variance ratio

KW - Product structure

KW - Prospects

KW - Prudential policies

KW - Real estate investment trusts

KW - Sharpe ratio

KW - Uniformly most powerful unbiased test

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Mean Variance Analysis of Asian Hedge Funds

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