PT  - JOURNAL ARTICLE
AU  - Stephen J. Brown
AU  - William N. Goetzmann
AU  - James M. Park
TI  - Hedge Funds and the Asian Currency Crisis
AID  - 10.3905/jpm.2000.319767
DP  - 2000 Jul 31
TA  - The Journal of Portfolio Management
PG  - 95--101
VI  - 26
IP  - 4
4099  - https://pm-research.com/content/26/4/95.short
4100  - https://pm-research.com/content/26/4/95.full
AB  - The authors test the performance of a number of global hedge funds over a four–year period in order to determine whether they could have been responsible for the crash in the Asian currencies in 1997. They use Sharpe's style analysis 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. Consequently, the authors find no empirical evidence to support the hypothesis that George Soros, or any other hedge fund manager, was responsible for the crisis. Style analysis suggests that global managers actively vary their exposures to currencies, but over the period 1993 through 1997 these fluctuations were not found to be associated with moves in exchange rates.