@article {Ammann46, author = {Manuel Ammann and Patrick Moerth}, title = {Performance of Funds of Hedge Funds}, volume = {11}, number = {1}, pages = {46--63}, year = {2008}, doi = {10.3905/jwm.2008.706272}, publisher = {Institutional Investor Journals Umbrella}, 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}, issn = {1534-7524}, URL = {https://jwm.pm-research.com/content/11/1/46}, eprint = {https://jwm.pm-research.com/content/11/1/46.full.pdf}, journal = {The Journal of Wealth Management} }