Investing in Hedge Funds: Risks, Returns and Performance Measurement

34 Pages Posted: 30 Dec 2004

See all articles by Francis Koh

Francis Koh

Singapore Management University - Lee Kong Chian School of Business

Winston T.H. Koh

Singapore Management University - School of Social Sciences

David Kuo Chuen Lee

Singapore University of Social Sciences (SUSS); National Univeristy of Singapore; Shanghai University of Finance and Economics

Kokfai Phoon

Monash University - Department of Accounting

Date Written: October 8, 2004

Abstract

Hedge funds are collective investment vehicles that are often established with a special legal status that allows their investment managers a free hand to use derivatives, short sell, and exploit leverage to raise returns and cushion risk. We review various issues relating to the investment in hedge funds, which have become popular with high net-worth individuals and institutional investors, as well as discuss their empirical risk and return profiles. The concerns regarding the empirical measurements are highlighted, and meaningful analytical methods are proposed to provide greater risk transparency in performance reporting. We also discuss the development of the hedge fund industry in Asia.

Keywords: Hedge funds, fund management, risk, returns, performance measurement

JEL Classification: G0

Suggested Citation

Koh, Francis and Koh, Winston T.H. and Lee, David Kuo Chuen and Phoon, Kokfai, Investing in Hedge Funds: Risks, Returns and Performance Measurement (October 8, 2004). Available at SSRN: https://ssrn.com/abstract=637461 or http://dx.doi.org/10.2139/ssrn.637461

Francis Koh (Contact Author)

Singapore Management University - Lee Kong Chian School of Business ( email )

469 Bukit Timah Road
Federal Building #02-05
Singapore 912409
Singapore

Winston T.H. Koh

Singapore Management University - School of Social Sciences ( email )

469 Bukit Timah Road
Federal Building #02-08
Singapore, 259756
Singapore
+65 6822 0853 (Phone)
+65 6822 0833 (Fax)

David Kuo Chuen Lee

Singapore University of Social Sciences (SUSS) ( email )

461 Clementi Road
Singapore, 599491
Singapore

National Univeristy of Singapore ( email )

1 Business Link
Singapore, 117592
Singapore

Shanghai University of Finance and Economics ( email )

Shanghai, 200433
China

Kokfai Phoon

Monash University - Department of Accounting ( email )

Building 11E
Clayton, Victoria 3800
Australia

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