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Chinese Hedge Funds - Performance and Risk Exposures

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  • Yun Ling
  • Juan Yao
  • Weidi Liu

Abstract

This article examines the historical performance of hedge funds domiciled in China in the aspect of return characteristics and risk exposures. Using data from the Morningstar China hedge fund database, we find that these funds do not exhibit common features such as negative skewness and large kurtosis as proposed by the literature. Our results show that these funds have a significant exposure to market factors but little exposure to the other commonly known factors. In addition, our results suggest Chinese hedge funds are exposed mainly to the local equity market only. The study additionally finds no excess returns in Chinese hedge funds. The results of this research provide some insights into the characteristics of the hedge fund industry in China where the economic and regulatory conditions are distinct from other markets.

Suggested Citation

  • Yun Ling & Juan Yao & Weidi Liu, 2015. "Chinese Hedge Funds - Performance and Risk Exposures," Chinese Economy, Taylor & Francis Journals, vol. 48(5), pages 330-350, September.
    • Handle: RePEc:mes:chinec:v:48:y:2015:i:5:p:330-350
    DOI: 10.1080/10971475.2015.1067084
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    Cited by:

    1. Yang, Fan & Havranek, Tomas & Irsova, Zuzana & Novak, Jiri, 2024. "Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance," EconStor Preprints 289497, ZBW - Leibniz Information Centre for Economics.

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