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Funds of Hedge Funds: A Comparative Analysis
Before, During, and After the Housing Bubble

Panagiotis Schizas
The Journal of Wealth Management Fall 2012, 15 (2) 62-71; DOI: https://doi.org/10.3905/jwm.2012.15.2.062
Panagiotis Schizas
is a portfolio manager at Marfin Asset Management and a lecturer of finance in the Department of Economics at the University of Peloponnese, in Peloponnese, Greece.
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  • For correspondence: panagiotis.schizas@gmail.com
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Abstract

This article characterizes the risk-return profile of a sample of five Funds of Hedge Fund indices from 1999 to 2011. It examines the FoHFs indices measure of performance for a sample of different periods:before, during, and after the subprime crisis. The results show substantial differences in the actual mean returns, the actual risk, and the Sharpe ratio. Furthermore, the attribution between the FoHFs indices and the single hedge funds has resulted to a declining beta over the last decade. Finally, it analyzes the performance of the proposed indices on different market variables, and finds a positive relation with the stock market before and after the crisis, and a negative relation with the volatility factor during the crisis of 2007 to 2009.

TOPICS: Real assets/alternative investments/private equity, performance measurement, financial crises and financial market history

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The Journal of Wealth Management: 15 (2)
The Journal of Wealth Management
Vol. 15, Issue 2
Fall 2012
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Funds of Hedge Funds: A Comparative Analysis
Before, During, and After the Housing Bubble
Panagiotis Schizas
The Journal of Wealth Management Jul 2012, 15 (2) 62-71; DOI: 10.3905/jwm.2012.15.2.062

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Funds of Hedge Funds: A Comparative Analysis
Before, During, and After the Housing Bubble
Panagiotis Schizas
The Journal of Wealth Management Jul 2012, 15 (2) 62-71; DOI: 10.3905/jwm.2012.15.2.062
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  • Article
    • Abstract
    • DATA SOURCES AND SAMPLE CONSTRUCTION
    • FOHFS: DESCRIPTIVE STATISTICS AND PERFORMANCE ATTRIBUTION
    • ATTRIBUTION IN FOHF PERFORMANCE
    • A MARKET FACTOR MODEL FOR FOHF PERFORMANCE
    • CONCLUSION
    • ENDNOTES
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