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

Abugri, Benjamin A.; Dutta, Sandip

doi:10.1016/j.intfin.2009.07.002

Cited by 16 publications

(27 citation statements)

References 22 publications

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“…Compared with developed world hedge funds, emerging market hedge funds usually use less leverage, resulting in less-extreme losses. This finding is consistent with research by Abugri and Dutta (2009), who found that emerging market hedge funds outperform indices when measured with a modified Sharpe ratio. The outperformance, however, is not statistically significant.…”

Section: Institutional Investor and Analyst Performancesupporting

confidence: 91%

Investment Issues in Emerging Markets: A Review

Mitchell¹

2011

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Emerging markets have generated considerable interest among investors and academics. Although their returns are increasingly converging to those of the developed world because of integration and liberalization, they still provide benefits to a global portfolio. This review reflects the latest practitioner and academic work on emerging market investing.Because of their higher economic growth and potentially higher returns, emerging markets have received increasing attention from investors in the developed world. They are also said to provide diversification benefits for U.S. investors because of their low correlations with U.S. assets.It is well documented that the benefits of international diversification within developed markets have declined over time because of increasing correlations. Emerging markets, however, offer both lower correlations and an expanded number of markets to invest in, as demonstrated in Goetzmann, Li, and Rouwenhorst (2005). More recently, Eun and Lee (2010) have confirmed that, although their performance is converging to that of developed markets, emerging markets are still more distinct from one another than developed markets are and still provide diversification benefits to the global investor.Also increasing their exposure is the ability of emerging markets to provide benefits to the developed world on a global macroeconomic level. As Sullivan (2008) notes, the continued growth of emerging markets means that the U.S. economy is more diversified across countries because it does not depend solely on developed markets. If stronger economic growth in emerging markets implies higher stock returns, then the developed world should allocate more capital to them. This increased investment would strengthen emerging market currency values and market capitalizations. As a result, their representation in a well-diversified global portfolio and their importance in the global economy would increase in the future.Despite the attractiveness of emerging markets, investing in them has many issues and associated risks that are not present in the developed world. In the past several years, a great deal of research has been conducted on emerging market issues. The most prominent areas are those concerning nonnormality and synchronicity in returns, corporate governance, contagion, changes from integration and liberalization, return factors, institutional investor and analyst performance, and currency issues.The purpose of this literature review is to provide a comprehensive summary of recent research relevant for emerging market investors. This review updates and complements the review of emerging market investment issues by Schill (2008) Nonnormality and Synchronicity in ReturnsIt is generally accepted that emerging market stock returns are not normally distributed. Extreme returns are more frequent than under a normal distribution, which results in a fat-tailed (leptokurtic) distribution. Both large positive (positive skewness) and large negative (negative skewness) returns have been found in various e...

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Section: Institutional Investor and Analyst Performancesupporting

confidence: 91%

Investment Issues in Emerging Markets: A Review

Mitchell¹

2011

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“…Her focus is on comparing emerging market hedge funds with other hedge fund strategies, while our focus is on comparing emerging market hedge funds with mutual funds active in this market. Abugri and Dutta (2009) analyze whether emerging market hedge funds follow a pattern similar to that reported for advanced market hedge funds after 2006. The focus of this paper also differs from this analysis, in that we compare hedge funds and mutual funds active in emerging markets, while these authors analyze whether emerging market hedge funds are comparable with hedge funds that are active in advanced markets.…”

Section: Introductionmentioning

confidence: 79%

The performance of hedge funds and mutual funds in emerging markets

Eling

Faust

2010

Journal of Banking & Finance

100

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“…A further study by Abugri and Dutta (2009) also shows that emerging market hedge funds are unable to consistently outperform their underlying benchmarks. Kotkatvuori-Örnberg, Nikkinen, and Peltomäki (2011) hypothesize that the poor aggregate performance of emerging market hedge funds may be due to lack of focus of these funds.…”

Section: Page 11 Of 45mentioning

confidence: 99%