Chapter 2

An Application of Style Analysis to Middle East and North African (MENA) Hedge Funds

G.N. Gregoriou*
M. Wu***    State University of New York (Plattsburgh), School of Business and Economics, Plattsburgh, NY, United States**    Clarkson University, Potsdam, NY, United States

Abstract

In this chapter we use style analysis to investigate if the returns of long-only equity hedge funds listed with the Middle East and North Africa (MENA) as their primary category classification in the Barclay Hedge Alternative Investment Database are driven by frontier market indexes and MENA indexes. Frontier markets are markets that are thinly traded and have poor liquidity as compared to traditional emerging markets. Our paper finds that our small group ...

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