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Emerging market hedge funds: Do they perform like regular hedge funds?

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  • Abugri, Benjamin A.
  • Dutta, Sandip

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.

Suggested Citation

  • Abugri, Benjamin A. & Dutta, Sandip, 2009. "Emerging market hedge funds: Do they perform like regular hedge funds?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(5), pages 834-849, December.
    • Handle: RePEc:eee:intfin:v:19:y:2009:i:5:p:834-849
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    References listed on IDEAS

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    Cited by:

    1. Basu, Anup K. & Huang-Jones, Jason, 2015. "The performance of diversified emerging market equity funds," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 116-131.
    2. Eling, Martin & Faust, Roger, 2010. "The performance of hedge funds and mutual funds in emerging markets," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1993-2009, August.
    3. Ali, Sara & Badshah, Ihsan & Demirer, Riza, 2022. "Value-at-risk and the cross section of emerging market hedge fund returns," Global Finance Journal, Elsevier, vol. 52(C).
    4. Bernardo, Márcio R. & Campani, Carlos Heitor, 2019. "Liability driven investment with alternative assets: Evidence from Brazil," Emerging Markets Review, Elsevier, vol. 41(C).
    5. Kotkatvuori-Örnberg, Juha & Nikkinen, Jussi & Peltomäki, Jarkko, 2011. "Geographical focus in emerging markets and hedge fund performance," Emerging Markets Review, Elsevier, vol. 12(4), pages 309-320.
    6. Cumming, Douglas & Zhang, Yelin, 2016. "Alternative investments in emerging markets: A review and new trends," Emerging Markets Review, Elsevier, vol. 29(C), pages 1-23.
    7. Gerhard Lechner & Rupert Beinhauer, 2018. "Are Commodity Hedge Funds interesting for institutional investors?," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 7(1), pages 1-1.
    8. Khaled Guesmi & Saoussen Jebri & Abdelkarim Jabri & Frédéric Teulon, 2014. "Are hedge funds uncorrelated with financial markets? An empirical assessment," Working Papers 2014-103, Department of Research, Ipag Business School.
    9. Božović, Miloš, 2022. "Recent evidence on the short-term and long-term performance persistence of emerging-market mutual fund returns," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).

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