Emerging market hedge funds: Do they perform like regular hedge funds? |
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Authors: | Benjamin A. Abugri Sandip Dutta |
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Affiliation: | 1. La Rochelle Business School – Excelia Group, La Rochelle, France;2. Lahore University of Management Sciences, Lahore, Pakistan;3. Lahore School of Economics, Lahore, Pakistan |
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Abstract: | In this study, we investigate whether the performance of emerging market hedge funds (EMHFs) follow a pattern similar to that reported for advanced market hedge funds. In contrast to the pre-2007 period, our results for the post-2006 period show that EMHFs exhibit performance patterns similar to those reported for hedge funds that focus on the developed markets. Unlike in the pre-2007 period, EMHFs in general do not exhibit significant exposure to specific asset classes in the post-2006 period. On a risk-adjusted basis, we find that EMHFs do not consistently outperform the benchmarks. The reported performance patterns may provide useful insights to both academics and portfolio managers. |
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