PT - JOURNAL ARTICLE AU - Manuel Ammann AU - Patrick Moerth TI - Performance of Funds of Hedge Funds AID - 10.3905/jwm.2008.706272 DP - 2008 Apr 30 TA - The Journal of Wealth Management PG - 46--63 VI - 11 IP - 1 4099 - https://pm-research.com/content/11/1/46.short 4100 - https://pm-research.com/content/11/1/46.full AB - 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