Hedge Funds and the Asian Currency Crisis

The performance of a number of global hedge funds is tested over a 4-year period in order to determine whether they could have been responsible for the crash in the Asian currencies in 1997. Sharpe's style analysis is used to measure the variations in the historical exposure of these funds to A...

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Bibliographic Details
Published in:Journal of portfolio management 2000-07, Vol.26 (4), p.95-101
Main Authors: Brown, Stephen J., Goetzmann, William N., Park, James M.
Format: Article
Language:English
Subjects:
American dollar
Currency
Equity funds
Foreign exchange rate risk
Foreign exchange rates
Global funds
Hedge funds
Hypotheses
International finance
Investment advisors
Investment policy
Studies
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Summary:The performance of a number of global hedge funds is tested over a 4-year period in order to determine whether they could have been responsible for the crash in the Asian currencies in 1997. Sharpe's style analysis is used to measure the variations in the historical exposure of these funds to Asian currencies leading up to the crisis. The results indicate that fund profits were not generally positive during the crisis, nor were funds' estimated exposures to Asian currencies unusual. No empirical evidence is found to support the hypothesis that George Soros, or any other hedge fund manager, was responsible for the crisis.
ISSN:0095-4918
2168-8656
DOI:10.3905/jpm.2000.319767