Publication Type
Magazine Article
Version
Publisher’s Version
Publication Date
3-2012
Abstract
How dependent are returns across hedge fund investment strategies? We estimate the probability that each investment strategy performs poorly when other investment strategies are delivering extreme negative returns. Under extreme market conditions, we find that event driven, distressed debt, and equity long/short funds exhibit the highest correlation with other styles while commodity trading advisors, macro, and equity market neutral funds exhibit the lowest correlation. In addition, we show that Asia-focused event driven and equity market neutral funds provide diversification for investors holding US- and Europe-focused funds.
Keywords
hedge funds, correlation, investment strategies, Asian hedge funds
Discipline
Finance and Financial Management
Research Areas
Finance
Publication
Hedge Fund Insights
First Page
2
Last Page
8
Publisher
BNP Paribus Hedge Fund Centre, Singapore Management University
City or Country
Singapore
Citation
TEO, Melvyn.
(2012). Research Collection BNP Paribas Hedge Fund Centre. Hedge Fund Insights
, 2.
Available at: https://ink.library.smu.edu.sg/bnp_research/28
Copyright Owner and License
BNP Paribus Hedge Fund Centre, Singapore Management University
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.