Asian Hedge Funds: A Tale of Three Cities小米糕
MELVYN TEO1
The hedge fund industry in Asia is dominated by a trio of financial centres: Hong Kong, Singapore, and Sydney. In this inaugural issue of the statistical digest, we provide a broad overview of the hedge fund industry in Asia and zero in on issues relevant to investors. Our analysis will be organized along the lines of manager location. Accordingly, we ask the following questions: How are hedge fund asts deployed across the three centres? What investment strategies do the asts partake in? Does the risk-adjusted performance of tho asts differ across centres? To shed light on the issues, we employ fund return, asts under management, and characteristics data from the merged May 2007 Eurekahedge and Asiahedge databa2.
I. SIZE, STYLE, AND INVESTMENT REGION DISTRIBUTION
1 Melvyn Teo is Assistant Professor of Finance and Director, BNP Paribas Hedge Fund Centre at the Singapore Management University. E-mail: *****************.sg. Phone: +65-6828-0735. Chuin-Hao Lim provided excellent rearch assistance. I thank Peter Douglas, Luz Foo, and Narayan Naik for comments. The views expresd here are my own and do not reprent tho of BNP Paribas or Singapore Management University.
2 There are 888 live and dead Asian focud funds (Asia ex Japan, Asia incl Japan, Japan, Australia/
New Zealand, Greater China, India, Korea, and Taiwan) in the May 2007 Eurekahedge databa. By merging with the Asiahedge databa, we include an additional 29
3 Asian focud funds. The characteristics data, e.g., size and fees, are valid as of April 2007. Future issues of the digest will analyze hedge fund data from other data sources as well.
氨溴索注射液说明书
To get the ball rolling, we plot in Figure 1 the distribution of hedge funds by asts under management3 (henceforth AUM) for the three financial centres.4 We group funds into the following US dollar size categories: 0-10m, 10-50m, 50-100m, 100-500m, and 500m+. Clearly from Figure 1, the size distribution is fairly similar across centres. The main difference is that Singapore and Sydney attract a larger proportion of smaller funds (0-10m and 10-50m funds) while Hong Kong draws a larger proportion of bigger funds (100-500m funds). That said, Sydney has the highest proportion of funds in the largest size category (500m+ funds) reflecting the significant variation in the size of hedge funds managed from Sydney. The difference in size distribution between Hong Kong and Singapore hedge funds is consistent with the regulatory differences between the two countries.
海洋胶原蛋白
There are also interesting differences in the investment style distribution of funds across centres. In Figure 2, we plot the distribution of hedge funds according to investment style. We find that in Hong Kong, most 3 To the extent that funds list on databas for marketing reasons, all commercial databas (including Eurekahedge and Asiahedge) are likely to underestimate the number of very large funds.
4 We assume that funds managed from Australia are managed from Sydney. In reality funds managed from Australia are located mostly in Sydney and Melbourne. Funds in Sydney compri about three-quarters of all funds managed from Australia (according to the Asiahedge databa). Unlike Asiahedge, Eurekahedge does not include city information in the manager location field.
绿色颜色of the funds (58%) are Equity Long/Short funds. In contrast, there is a greater diversity of funds in Singapore and Sydney. Specifically, Sydney has a preponderance of CTA funds, while Singapore has a disproportionate number of Macro funds. The results reflect the prence of significant opportunities for Equity Long/Short funds in the Greater China market, the importance of commodities to the Australian economy, and the dominance of Singapore as a currency trading hub.
Figure 3: Distribution of funds by investment geography
To further investigate their investment opportunity t, we also stratify funds by investment geography. The pie chart in Figure 3 prents the distribution of funds bad on the location of their investment markets. Not surprisingly, for geographical proximity reasons, we find that most hedge funds investing in Greater China are managed from Hong Kong and all funds investing in Australia/New Zealand are managed from Sydney. Sydney also has the highest proportion of Global funds (38%) while Singapore has the highest proportion of Japan funds (14%). The higher proportion of Japan funds operating from Singapore versus Hong Kong ems puzzling given the proximity of the latter to Tokyo. One view is that married Japane expatriates are attracted to the family friendly living conditions in Singapore.
II. FACTOR AND CORRELATION ANALYSIS
Figure 4: Heat map of hedge fund portfolio and principal component R-squares
0.10.20.30.40.50.60.7
0.80.91Next we probe deeper and investigate the drivers underlying hedge fund returns and whether tho drivers vary for funds operating in the same investment style and geography, but managed from different centres. Principal components analysis is a convenient tool for summarizing the main f加拿大打工
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actors driving portfolio returns. We u principal components analysis to derive the main components or factors driving hedge fund portfolios. To start, the equity-weighted hedge fund portfolios we analyze are investment style and geography interctions (e.g., Equity Long/Short, Asia ex Japan). Altogether we have 11 style and geography interctions with sufficient funds to form portfolios. To the we add the group of CTAs and Macro funds managed from the three centres. With the 13 hedge fund portfolios 5, we can derive 13 principal components or factors.
The heat map in Figure 4 illustrates the R-squares of the top ten components (bad on explanatory power) relative to the hedge fund portfolios. That is, the heat map shows how well each component explains the variation in returns for each hedge fund style/geography portfolio in a linear regression tting. A darker cell in Figure 4 indicates that the principal component better explains variation in the corresponding hedge fund portfolio’s returns.
The colors of the cells in Figure 4 suggest that return variation in hedge funds is driven more by investment style than investment geography. For instance, the principal component that best explains Equity Long/Short funds is P1 regardless of the geographical region. P2, P6, and P8 are the factors driving Macro, CTA, and distresd funds, respectively. Only multi-strategy funds em to be explained by a variety of factors corresponding to different investment markets.
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市场营销方案范文The sample period is from January 1998 to March 2007, unless noted otherwi.
Figure 5: Heat map of hedge fund portfolio and benchmark correlations
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-0.2 Having analyzed the broad differences in factors across investment style/geography interctions, we now turn to differences within tho interctions. Given the preponderance of Equity Long/Short funds in the region, we focus on this investment style to ensure that each style/geography/manager location interction has sufficient funds for the construction of portfolio ret
urns. We report in heat map form the correlations between hedge fund portfolios. We also report the correlations of tho portfolios with various equity benchmarks: Nikkei 225, MSCI Asia, MSCI Asia ex Japan, and MSCI China.
The heat map in Figure 5 depicts a rich pattern of correlations. It indicates that Asia ex Japan and Asia incl Japan hedge funds managed from Sydney are less correlated than their hedge fund counterparts managed from Singapore and Hong Kong. The same can be said of Japan hedge funds managed from Singapore. One reason for this, at least for Asia incl Japan hedge funds managed from Sydney and Japan hedge funds managed from Singapore, is that they are less expod to their corresponding equity markets, i.e., as proxied by the MSCI Asia and Nikkei 225 indices, respectively. Overall, bad on the correlations between the Equity Long/Short hedge fund portfolios and equity benchmark returns, Equity Long/Short hedge funds em fairly well-explained by their respective equity benchmarks. This also suggests that the P1 principal component featured in Figure 4, which well-explains Asian Equity Long/Short style returns, is an Asian equity factor.
