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Breaking the myth: Asian long short hedge funds are not all the same – GFIA

Wednesday, August 04, 2010

Opalesque Industry Update - GFIA pte ltd, the Singapore based specialist in skill-based managers in Asian and emerging markets, has released a study on the gross and net exposures of the Asian long/short universe, and its effect on the resultant performance.

In this paper, GFIA discussed the myth of the homogeneity of the Asian long/short hedge fund universe. GFIA’s study confirmed that managers run very diverse shapes of portfolios, thus producing wide dispersions of returns.

Findings include:

• The difference between the maximum and minimum gross exposures ran by managers reached a high of 320% in June 2007.

• In the five largest monthly market moves in the last three years, the average performance difference in that month between the 25th and 75th percentile manager return was 8%, and the average difference in that month between best and worst fund was 25%1. Funds show greatest dispersion of returns in months’ with outlier performance in either direction, demonstrating that managers make active investment decisions and run distinct portfolios.

Peter Douglas CAIA, principal of GFIA, commented: “Although over half the Asian hedge fund universe, and almost half of the last 12 months’ new launches, are long/short equity funds, it’s a mistake to see this as evidence of a lack of diversity in the Asian hedge fund industry. The long/short strategies we see encompass a very broad range of investment approaches and risk profiles.”

(press release)

www.gfia.com.sg


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