PT  - JOURNAL ARTICLE
AU  - Bolong Cao
AU  - Shamila A. Jayasuriya
TI  - Volatility and the Cross-Sectional Performance of <br/>Emerging Market Hedge Funds
AID  - 10.3905/jai.2012.14.4.040
DP  - 2012 Mar 31
TA  - The Journal of Alternative Investments
PG  - 40--50
VI  - 14
IP  - 4
4099  - https://pm-research.com/content/14/4/40.short
4100  - https://pm-research.com/content/14/4/40.full
AB  - Using an augmented Treynor and Mazuy model, the authors analyze the cross-sectional performance of a large sample of hedge funds operating in different regions of emerging markets. The performances of these funds are benchmarked on the relevant regional capital market indices and optionbased risk factors. They find that the realized volatility of emerging market stock indices generally has a negative impact on fund performance. For some of these funds, they find evidence of an ability to generate alpha and time the market. Furthermore, they provide information on how certain fund characteristics are related to the performance and ability of the fund managers.TOPICS: Real assets/alternative investments/private equity, emerging, risk management, performance measurement