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Performance of Funds of Hedge Funds

Manuel Ammann and Patrick Moerth
The Journal of Wealth Management Summer 2008, 11 (1) 46-63; DOI: https://doi.org/10.3905/jwm.2008.706272
Manuel Ammann
A professor of finance at Swiss Institute of Banking and Finance, University of St. Gallen in St. Gallen, Switzerland.
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  • For correspondence: manuel.ammann@unisg.ch
Patrick Moerth
The managing director of Odin Capital Management Ltd. in London, U.K.
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  • For correspondence: patrick.moerth@odincm.com
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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

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The Journal of Wealth Management
Vol. 11, Issue 1
Summer 2008
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Performance of Funds of Hedge Funds
Manuel Ammann, Patrick Moerth
The Journal of Wealth Management Apr 2008, 11 (1) 46-63; DOI: 10.3905/jwm.2008.706272

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Performance of Funds of Hedge Funds
Manuel Ammann, Patrick Moerth
The Journal of Wealth Management Apr 2008, 11 (1) 46-63; DOI: 10.3905/jwm.2008.706272
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