Abstract
This article investigates the performance of funds of hedge funds. A variety of methods is used to shed more light on different performance aspects. Multi-factor and single-factor models are used to explain excess fund of hedge funds returns. Cross-sectional regression analyses indicate that larger funds of hedge funds exhibit higher returns, lower standard deviations, higher Sharpe ratios, and higher alphas based on a multi-factor model. Performance persistence in fund of hedge funds returns is tested with a comprehensive relative efficiency measure based on data envelopment analysis. A rank correlation test based on the efficiency measure does not indicate any statistically significant performance persistence.
TOPICS: Real assets/alternative investments/private equity, factor-based models, performance measurement
- © 2008 Pageant Media Ltd
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600
Log in using your username and password
In this issue
