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Primary Article

The Mortality of Funds of Hedge Funds

Greg N. Gregoriou
The Journal of Wealth Management Spring 2003, 5 (4) 42-53; DOI: https://doi.org/10.3905/jwm.2003.320468
Greg N. Gregoriou
The Institut de Finance Mathématique de Montréal Scholar in the doctoral program (finance) and faculty lecturer at the University of Quebec at Montreal.
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  • For correspondence: gregoriou.g@uqam.ca
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Abstract

The author applies data envelopment analysis (DEA) and uses the basic, cross-evaluation, and super-efficiency models to evaluate the performance of the fund of hedge funds classification (a basket of hedge funds). The purpose of alternative investment strategies such as funds of hedge funds is to offer absolute returns, so using passive benchmarks to measure their performance may be ineffective. With the ever-increasing number of funds of hedge funds, there is an urgency to provide money managers, pension funds, and high-net-worth individuals with a trustworthy appraisal method in ranking their efficiency. DEA can achieve this, and one important benefit of this measure is that benchmarks are not required, thereby alleviating the problem of using traditional benchmarks to examine non-normal returns. This article aims to investigate funds of hedge funds and to identify the funds that have achieved superior performance or, in other words, have an efficiency score of 100 in a risk/return setting.

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The Journal of Wealth Management
Vol. 5, Issue 4
Spring 2003
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The Mortality of Funds of Hedge Funds
Greg N. Gregoriou
The Journal of Wealth Management Jan 2003, 5 (4) 42-53; DOI: 10.3905/jwm.2003.320468

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The Mortality of Funds of Hedge Funds
Greg N. Gregoriou
The Journal of Wealth Management Jan 2003, 5 (4) 42-53; DOI: 10.3905/jwm.2003.320468
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