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The Journal of Wealth Management

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Article

Importance of Tactical Strategy Allocation on
Fund-of-Hedge-Funds Allocations

Gaurav Anand, Thomas Maier, Iliya Kutsarov and Marcus Storr
The Journal of Wealth Management Fall 2011, 14 (2) 49-58; DOI: https://doi.org/10.3905/jwm.2011.14.2.049
Gaurav Anand
is an affiliated researcher at Feri Institutional Advisors in Bad Homburg, Germany.
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  • For correspondence: anand@cantab.net
Thomas Maier
is a senior investment manager at Feri Institutional Advisors in Bad Homburg, Germany.
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  • For correspondence: thomas.maier@feri.de
Iliya Kutsarov
is a senior investment manager at Feri Institutional Advisors in Bad Homburg, Germany.
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  • For correspondence: iliya.kutsarov@feri.de
Marcus Storr
is a director of investment management at Feri Institutional Advisors in Bad Homburg, Germany.
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  • For correspondence: marcus.storr@feri.de
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Abstract

The importance of strategic allocation for traditional asset classes has been widely accepted. However, its importance in hedge fund allocation is still a matter of debate and draws interest both from academics and those in the industry, in particular, funds of hedge funds. In the present study, an attempt to highlight the importance of tactical strategy allocation in fund-of-hedge-funds allocation is presented. For this purpose, comparisons of the historical performance of various hedge fund trading strategies over various time periods have been performed. It has been shown that the performance of the hedge fund strategies (across various time periods chosen in the present study) can be best described by a univariate skewed t-distribution. Comparisons of the cumulative distribution function of the various trading strategies show significant differences in their probability of delivering absolute returns, hence emphasizing the significance of tactical strategic allocation. Furthermore, it has been shown that these probabilities vary vastly across time periods, thus requiring active fund management.

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The Journal of Wealth Management: 14 (2)
The Journal of Wealth Management
Vol. 14, Issue 2
Fall 2011
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Importance of Tactical Strategy Allocation on
Fund-of-Hedge-Funds Allocations
Gaurav Anand, Thomas Maier, Iliya Kutsarov, Marcus Storr
The Journal of Wealth Management Jul 2011, 14 (2) 49-58; DOI: 10.3905/jwm.2011.14.2.049

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Importance of Tactical Strategy Allocation on
Fund-of-Hedge-Funds Allocations
Gaurav Anand, Thomas Maier, Iliya Kutsarov, Marcus Storr
The Journal of Wealth Management Jul 2011, 14 (2) 49-58; DOI: 10.3905/jwm.2011.14.2.049
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  • Article
    • Abstract
    • HEDGE FUND CLASSIFICATION AND METHODOLOGY
    • PERFORMANCE HETEROGENEITY AMONG HEDGE FUNDS
    • INFLUENCE OF STRATEGIC ALLOCATION: A PROBABILISTIC APPROACH
    • CONCLUSION
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