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Title: A tail of two cities: On the downside risk and loss profile of Asian and North American hedge funds
Authors: Cherian, J 
Kon, C
Weng, W
Issue Date: 1-Jun-2016
Publisher: Pageant Media US
Citation: Cherian, J, Kon, C, Weng, W (2016-06-01). A tail of two cities: On the downside risk and loss profile of Asian and North American hedge funds. Journal of Alternative Investments 19 (1) : 55-77. ScholarBank@NUS Repository.
Abstract: This article 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 to 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 multistrategy 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, a result that is slightly contrary to extant empirical evidence.
Source Title: Journal of Alternative Investments
ISSN: 15203255
DOI: 10.3905/jai.2016.19.1.055
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