Asian hedge funds: Return persistence, style, and fund characteristics

This study explores the return persistence properties, styles, and fund characteristics of hedge funds that mainly invest in Asia. We examine, for the first time, a high resolution hedge fund dataset which includes monthly return information as well as detailed fund characteristics data. We find tha...

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Main Authors: KOH, Francis, KOH, Winston T. H., TEO, Melvyn
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2003
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Online Access:https://ink.library.smu.edu.sg/lkcsb_research/5166
https://ink.library.smu.edu.sg/context/lkcsb_research/article/6165/viewcontent/SSRN_id416960__1_.pdf
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spelling sg-smu-ink.lkcsb_research-61652019-04-24T02:01:01Z Asian hedge funds: Return persistence, style, and fund characteristics KOH, Francis KOH, Winston T. H. TEO, Melvyn This study explores the return persistence properties, styles, and fund characteristics of hedge funds that mainly invest in Asia. We examine, for the first time, a high resolution hedge fund dataset which includes monthly return information as well as detailed fund characteristics data. We find that the returns of Asian hedge funds persist most strongly at monthly horizons to quarterly horizons. This persistence weakens considerably when we lengthen the measurement period beyond a quarter, and does not appear to be due to the imputation of fees or to systematic risk as measured by a simple factor model. Further, we show that Asian funds comove largely with a common Asian equity markets component. Other major components that explain the cross-sectional variation in Asian hedge fund returns include a CTA component, two macro components, and three multi-strategy components. The seven style components in total explain about 64% of the variation in returns. Next, we study the relationship between the cross-section of fund returns and fund characteristics. We document a positive relationship between holding firm size and fund returns which is consistent with an "economies of scale" explanation. Moreover, we find that funds with higher redemption (lockup) periods achieve higher returns on average due to their ability to extricate from their positions in a timely fashion in the face of redemptions. However, there is no evidence to suggest that funds with higher expenses (management and performance fees) achieve higher returns. 2003-06-01T07:00:00Z text application/pdf https://ink.library.smu.edu.sg/lkcsb_research/5166 info:doi/10.2139/ssrn.416960 https://ink.library.smu.edu.sg/context/lkcsb_research/article/6165/viewcontent/SSRN_id416960__1_.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University Asian hedge funds hedge funds style persistence fees Asian Studies Finance and Financial Management Portfolio and Security Analysis
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Asian hedge funds
hedge funds
style
persistence
fees
Asian Studies
Finance and Financial Management
Portfolio and Security Analysis
spellingShingle Asian hedge funds
hedge funds
style
persistence
fees
Asian Studies
Finance and Financial Management
Portfolio and Security Analysis
KOH, Francis
KOH, Winston T. H.
TEO, Melvyn
Asian hedge funds: Return persistence, style, and fund characteristics
description This study explores the return persistence properties, styles, and fund characteristics of hedge funds that mainly invest in Asia. We examine, for the first time, a high resolution hedge fund dataset which includes monthly return information as well as detailed fund characteristics data. We find that the returns of Asian hedge funds persist most strongly at monthly horizons to quarterly horizons. This persistence weakens considerably when we lengthen the measurement period beyond a quarter, and does not appear to be due to the imputation of fees or to systematic risk as measured by a simple factor model. Further, we show that Asian funds comove largely with a common Asian equity markets component. Other major components that explain the cross-sectional variation in Asian hedge fund returns include a CTA component, two macro components, and three multi-strategy components. The seven style components in total explain about 64% of the variation in returns. Next, we study the relationship between the cross-section of fund returns and fund characteristics. We document a positive relationship between holding firm size and fund returns which is consistent with an "economies of scale" explanation. Moreover, we find that funds with higher redemption (lockup) periods achieve higher returns on average due to their ability to extricate from their positions in a timely fashion in the face of redemptions. However, there is no evidence to suggest that funds with higher expenses (management and performance fees) achieve higher returns.
format text
author KOH, Francis
KOH, Winston T. H.
TEO, Melvyn
author_facet KOH, Francis
KOH, Winston T. H.
TEO, Melvyn
author_sort KOH, Francis
title Asian hedge funds: Return persistence, style, and fund characteristics
title_short Asian hedge funds: Return persistence, style, and fund characteristics
title_full Asian hedge funds: Return persistence, style, and fund characteristics
title_fullStr Asian hedge funds: Return persistence, style, and fund characteristics
title_full_unstemmed Asian hedge funds: Return persistence, style, and fund characteristics
title_sort asian hedge funds: return persistence, style, and fund characteristics
publisher Institutional Knowledge at Singapore Management University
publishDate 2003
url https://ink.library.smu.edu.sg/lkcsb_research/5166
https://ink.library.smu.edu.sg/context/lkcsb_research/article/6165/viewcontent/SSRN_id416960__1_.pdf
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