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investing in hedge strongfundsstrong risks, returns and performance.pdf

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investing in hedge strongfundsstrong risks, returns and performance

Investing in Hedge Funds: Risks, Returns and Performance Measurement* a b c d Francis C.C. Koh , Winston T.H. Koh , David K.C. Lee , Kok Fai Phoon 8 October 2004 Abstract Hedge funds are collective investment vehicles that are often established with a special legal status that allows their investment managers a free hand to use derivatives, short sell, and exploit leverage to raise returns and cushion risk. We review various issues relating to the investment in hedge funds, which have become popular with high net-worth individuals and institutional investors, as well as discuss their empirical risk and return profiles. The concerns regarding the empirical measurements are highlighted, and meaningful analytical methods are proposed to provide greater risk transparency in performance reporting. We also discuss the development of the hedge fund industry in Asia. * Financial support from Wharton-SMU Research Centre, Singapore Management University is gratefully acknowledged. a Practice Associate Professor, School of Business, Singapore Management University. 469 Bukit Timah Road, Singapore 259756. Tel: +65 Email: franciskoh@.sg b Associate Professor, School of Economics and Social Sciences, Singapore Management University. 469 Bukit Timah Road, Singapore 259756. Tel: +65 Email: winstonkoh@.sg c Managing Director and Chief Investment Officer, Ferrell Asset Management Pte Ltd. 80 Raffles Place #28-21 UOB Plaza 2, Singapore 048624. Tel: +65-6536662