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Selecting Prior Year’s Top Fund of Hedge Funds as This Year’s Choice

Greg N. Gregoriou and Razvan Pascalau
The Journal of Wealth Management Fall 2010, 13 (2) 61-68; DOI: https://doi.org/10.3905/jwm.2010.13.2.061
Greg N. Gregoriou
is a professor of finance at State University of New York in Plattsburgh, NY and EDHEC Research Associate in Nice, France.
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  • For correspondence: gregorg@plattsburgh.edu
Razvan Pascalau
is an assistant professor of economics in the department of economics and finance at State University of New York in Plattsburgh,NY.
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  • For correspondence: rpasc001@plattsburgh.edu
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Abstract

Can investors select winning funds of hedge funds (FOFs) by merely assuming a simple trading strategy? Can historical information present insight on future returns? Financial theory presumes that stock markets are efficient and using any type of trading strategy will not be successful in the long-run. This article investigates a pure simple trading strategy to see if selecting last year’s top-performing FOFs as this year’s choice can outperform three FOF indexes and the S&P 500 Index. We further apply the strategy to the top-performing onshore and offshore funds, respectively, and compare them to the HFR Onshore and HFR Offshore indices, respectively. We generally find that selecting (up to) the six best performing FOFs is a winning strategy that outperforms both the market and the benchmark FOFs indices. There appears to be little benefit to over-diversifying in excess of this number. This finding applies both to onshore and offshore FOFs.

TOPICS: Real assets/alternative investments/private equity, performance measurement

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The Journal of Wealth Management: 13 (2)
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Selecting Prior Year’s Top Fund of Hedge Funds as This Year’s Choice
Greg N. Gregoriou, Razvan Pascalau
The Journal of Wealth Management Jul 2010, 13 (2) 61-68; DOI: 10.3905/jwm.2010.13.2.061

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Selecting Prior Year’s Top Fund of Hedge Funds as This Year’s Choice
Greg N. Gregoriou, Razvan Pascalau
The Journal of Wealth Management Jul 2010, 13 (2) 61-68; DOI: 10.3905/jwm.2010.13.2.061
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