Department of Economics
Mean variance analysis of Asian hedge funds
© 2014 Elsevier Inc. All rights reserved.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.
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
Source Publication Title
Handbook of Asian finance: REITs, trading, and fund performance
Gregoriou, Greg N. ; Lee, David
Elsevier Academic Press
Link to Publisher's Edition
Hui, Yongchang, Zhidong Bai, Kok-Fai Phoon, and Wing-Keung Wong. "Mean variance analysis of Asian hedge funds." Handbook of Asian finance: REITs, trading, and fund performance (2014): 461-482.