Browsing by Author "Yuen, Mui Kuen"

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    Essays in hedge fund performance : a thesis presented in fulfilment of the requirement for the degree of Doctor of Philosophy in Finance at Massey University, Palmerston North, New Zealand
    (Massey University, 2018) Yuen, Mui Kuen
    Over the last decade, hedge funds domiciled in the Asia Pacific has been one of the fastest growing sectors in the global hedge fund universe both in terms of the number of funds and assets under management (AUM). The issue of the sustainability of hedge fund risk-adjusted performance (alpha) has become more relevant given the rapidly increasing inflows in hedge funds in this region. The first part of this thesis investigates the alpha generating of the hedge funds domiciled in the Asia Pacific based on a recent sample compiled from the Eurekahedge, TASS, and Morningstar databases covering both the up and down markets and including the latest financial crisis. I find a positive average alpha in the cross-section for the majority of strategies and a positive and significant alpha for roughly half of all funds. Moreover, the alpha of three-quarter of the strategy indices is positive and significant in the time series. A comparison of the stepwise regression factor model and the widely used factor model proposed by Fung and Hsieh (2004a) reveals that the estimated alpha is robust with respect to the choice of the factor model. In contrast to prior research I find little evidence of a decreasing hedge fund alpha over time except dedicated short bias strategy. The second part of this thesis examines the issue of performance persistence in relation hedge funds domiciled in the Asia Pacific. Evidence of performance persistence indicates active selection is likely to enhance the expected return, particularly relevant for hedge fund investors. The second sub period that includes the global financial crisis of 2007 to 2010 result only weak evidence of performance. Over the full sample period, the results illustrate only weak evidence of persistence. Lastly, the thesis relates the survival of hedge funds domiciled in the Asia Pacific to the hedge fund characteristics. Given certain hedge fund characteristics such as age, size, performance, standard deviation, leverage, management and performance fees, high water mark provisions, redemption frequency, lockup provisions, minimum investment requirements, and whether the fund is listed on an exchange, I question whether attrition of hedge funds can be predicted. The results show larger, better performing funds with lower redemption frequency has a higher likelihood of survival irrespective of the model used.
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    Portfolio risk diversification, coherent risk measures and risk mapping, risk contribution analysis and the setting of risk limits : a thesis presented in partial fulfillment of the requirements for the degree of Master of Business Studies in Finance at Massey University
    (Massey University, 2003) Yuen, Mui Kuen
    This study aims to investigate the nature and sources of portfolio risks during normal as well as abnormal market conditions. The benefits of portfolio diversification will be studied first. Portfolio risk as measured by the volatility and beta will be calculated as the number of the positions is increased until the marginal diversification benefits obtained are at its optimal. Other measures based on statistical measures such as quantiles, quantile differences and quantile ratios for central tendency and asymmetry presence and significance of extreme events of skewness and kurtosis will also be used. This study is conducted on the daily data for the period August 9, 1998 to June 30, 2003, for 25 stock markets worldwide: Australia, Brazil, Chile, France, Germany, Hong Kong, Japan, India, Indonesia, Ireland, Israel, Italy, Mexico, New Zealand, Singapore, South Africa, South Korea, Spain, Sweden, Switzerland, Taiwan, Thailand, Turkey, United Kingdom and United States. Based on the theory of central limit theorem (CLT) and hence jointly normal distributions, the relationship between portfolio diversification and value at risk (VaR) as a coherent risk measure is examined. Diversification benefits based on two simulation models namely: the geometric Brownian motion (GBM) and Fréchet random walk (FRW) which serve as the ideal models are also investigated. The second part of the study focuses on the main sources of risk or risk hot spots in a portfolio using component VaR (VaR c ), incremental VaR (IVaR), and delta or marginal (DVaR). Finally, the portfolio risk will be monitored using a risk mapping or risk decomposition method. The risk of a given position is mapped onto a much smaller number of primary risk factors. In this study, individual country's stock index will be used as proxy for equities, government bond index and risk free rate for fixed interest, spot foreign exchange rate and forward one month, three month and one year exchange rale and gold and crude oil for commodities. In general, the results for the tail-risk measures are similar to what has been found for the center of the portfolio risk measures and covariance plays a significant role in the assessment of the risk inherent to real portfolios based on the greater diversification benefits gained from the two simulated models, whose log-returns were generated independently. Diversification "works" well under normal market conditions.