Mui Yuen

Citation

Thesis Title
Essays in Hedge Fund Performance

Read article at Massey Research Online:

Ms Yuen researched the risk-adjusted performance of hedge funds domiciled in the Asia Pacific from 1994 to 2012. Her findings showed positive, average alpha in the cross-section for the majority of hedge fund strategies and significant alpha for roughly half of all funds. In addition, over the full sample period, results illustrated only weak evidence of performance persistence, consistent with the luck hypothesis. She also found larger, better performing funds with lower redemption frequency have a higher likelihood of survival irrespective of the methodology used. These findings are important from the point of hedge fund investors since they frequently face selection problems when deciding on which hedge funds to invest in, and for institutional investors who make up a large proportion of hedge fund investors.

Supervisors
Professor Martin Young
Dr Jianguo Chen