The performance and diversification benefits of funds of hedge funds
|Title:||The performance and diversification benefits of funds of hedge funds||Authors:||Denvir, Emily
|Permanent link:||http://hdl.handle.net/10197/1179||Date:||2004||Abstract:||We examine the performance and diversification potential of 332 funds of hedge funds (FOHFs) for the period from January 1990 to May 2003. Consistent with prior studies, we find that FOHFs appear to underperform the hedge fund index on a risk-adjusted basis. However, FOHFs have characteristics that offset their apparent underperformance. Their returns do not suffer from negative skewness that is a feature of many hedge fund strategies. In addition, we find that FOHFs have lower correlations (than the hedge fund index) with stock indices in both bull and bear markets, making them a better diversification tool in equity portfolios. For bond portfolios, however, FOHFs have no diversification advantage over hedge fund indexing.||Type of material:||Working Paper||Publisher:||University College Dublin. School of Business. Centre for Financial Markets||Copyright (published version):||2004, Centre for Financial Markets||Keywords:||Hedge funds;Fund of hedge funds;Diversification;Skewness||Subject LCSH:||Hedge funds--Evaluation
|Language:||en||Status of Item:||Not peer reviewed|
|Appears in Collections:||Centre for Financial Markets Working Papers|
Show full item record
Page view(s) 50116
This item is available under the Attribution-NonCommercial-NoDerivs 3.0 Ireland. No item may be reproduced for commercial purposes. For other possible restrictions on use please refer to the publisher's URL where this is made available, or to notes contained in the item itself. Other terms may apply.