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- W2257182039 abstract "This paper analyzes the downside risk and loss profiles of hedge funds in North America and Asia to identify any significant differences between the geographic markets and determine how these differences have converged or diverged over time. An attempt is made to understand the performance drivers that differentiate Asian from North American hedge funds. In the downside-risk analysis of 2,631 North American and 994 Asian hedge funds from January 1995 to February 2013, event-driven investment strategies for both geographic regions perform better than the other hedge fund investment strategies in relation to both risk and return, and downside risk. More diversified funds such as multi-strategy hedge funds do not necessarily perform better than single-manager strategies in relation to downside risk, while relative value strategies exhibit the most similar characteristics across the two geographies. Following their lackluster performance during the Asian Financial Crisis, Asian hedge funds improved their risk-adjusted performance, particularly during the recent Global Financial Crisis when their loss profile reached a level similar to that of their North American peers. Lastly, “nearby” funds, i.e., funds whose managers are located in the same investment geography, have slightly worse loss profiles than “distant” funds in both geographic markets, which result is slightly contrary to extant empirical evidence." @default.
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- W2257182039 date "2014-01-01" @default.
- W2257182039 modified "2023-09-23" @default.
- W2257182039 title "A Tail of Two Cities: On the Downside Risk and Loss Profile of Asian and North American Hedge Funds" @default.
- W2257182039 doi "https://doi.org/10.2139/ssrn.2520354" @default.
- W2257182039 hasPublicationYear "2014" @default.
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