Style analysis and Value-at-Risk of Asia-focused hedge funds

Haijie Weng*, Stefan Trück

*Corresponding author for this work

Research output: Contribution to journalArticle

9 Citations (Scopus)

Abstract

In this paper we identify risk factors for Asia-focused hedge funds through a modified style analysis technique. Using an Asian hedge fund index, we find that Asian hedge funds show significant positive exposures to emerging equity markets. For both a static and rolling period style analysis, our model provides a high explanatory power for returns of the considered hedge fund index. We further conduct a Value-at-Risk analysis using the results of a rolling window style analysis as inputs. Our findings suggest that the considered parametric models outperform a simple historical simulation that is purely based on past return observations.

Original languageEnglish
Pages (from-to)491-510
Number of pages20
JournalPacific-Basin finance journal
Volume19
Issue number5
DOIs
Publication statusPublished - Nov 2011

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