RT Journal Article
SR Electronic
T1 Funds of Hedge Funds: <em>A Comparative Analysis</em>
               <br/>
               <em>Before, During, and After the Housing Bubble</em>
JF The Journal of Wealth Management
FD Institutional Investor Journals
SP 62
OP 71
DO 10.3905/jwm.2012.15.2.062
VO 15
IS 2
A1 Panagiotis Schizas
YR 2012
UL https://pm-research.com/content/15/2/62.abstract
AB 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