Funds of Hedge Funds: Performance, Assessment, Diversification, and Statistical Properties

With about $450 billion in assets, funds of hedge funds are the most recent darling of investors. While hedge funds carry high risk for the promise of high returns they are designed for the very rich and for large institutional investors such as pension funds. A Fund of Hedge Funds (FOF) spreads investments among a number of hedge funds to reduce risk and provide diversification, while maintaining the potential for higher than average returns. Odds are that some pension fund of yours is invested heavily in these products, and more recently these FOFs have been opened to more and more individual investors in offshore jurisdictions with lower minimum entry levels. Since this is a new and extremely fast-moving financial phenomenon, academic research has just begun in earnest, and this is the first book to present rigorous academic research by some of the leading lights in academic finance, carefully analyzing the broad array of issues involved in FOFs.

* With over $450 billion in assets, hedge funds of funds are the darling of investors
* First book to present rigorous academic research about funds of funds
* Leading lights in academic finance from around the world analyze the broad array of issues involved in funds of funds

1 Rank alpha funds of hedge funds
Carol Alexander and Anca Dimitriu
2 Funds of hedge funds: bias and persistence in returns
Daniel Capocci and Georgers Hübner
3 Replication and evaluation of fund of funds returns 1994-2005
Harry M. Kat and Helder P. Palaro
4 Factor decomposition of fund of funds returns
Jean-François Bacmann, Pierre Jeanneret, and Stefan Scholz
5 Optimal fund of fund asset allocation: hedge funds, CTAs and REITs
Nicolas Papageorgiou and Alain Elkaim
6 The changing performance and factor risks of fund of funds in the modern
period
Keith H. Black
7 Hedge fund indices: are they cost-effective alternatives to fund of funds?
Kathryn Wilkens
8 Simple hedge fund strategies as an alternative to funds of funds: evidence from large cap funds
Greg N. Gregoriou, Georges Hübner, Nicolas Papageorgiou, and Fabrice Rouah
9 Funds of funds of hedge funds: welcome to diworsification
François-Serge Lhabitant and Nicolas Laporte
10 Style analysis of funds of hedge funds: measurement of asset allocation and style drift
Andreas Oehler and Oliver A. Schwindler
11 Gains from adding funds of hedge funds to portfolios of traditional assets: An international perspective
Niclas Hagelin, Bengt Pramborg, and Fredrik Stenberg
12 Tactical asset allocation for hedge fund indices at one- to six-month horizons
Laurent Favre
13 Single strategy funds of hedge funds: how many funds?
Ryan J. Davies, Harry M. Kat, and Sa Lu
14 The distributional characteristics of fund of hedge fund returns
Elaine Hutson, Margaret Lynch and Max Stevenson
15 Funds of funds and diversification effect
Maher Kooli
16 Higher-moment performance characteristics of funds of funds
Zsolt Berenyi
17 The market risk of funds of hedge funds: a conditional approach
Florent Pochon and Jérôme Teïletche
18 Revisiting the Fama and French model: An application to funds of funds using
nonlinear methods
Eric Dubé, Clément Gignac and François Eric Racicot
19 Investor’s choice: an investor-driven, forward-looking optimization approach to fund of hedge fund construction
Clemens H. Glaffig
20 Moments analysis in risk and performance monitoring of funds of hedge funds
David K.C. Lee, Kok Fai Phoon, and Choon Yuan Wong
21 An overview of funds of hedge funds
Jean Brunel

22 Institutional investment due diligence on funds of hedge funds
John E. Dunn, III
23 Synthetic CDO squares and the continuing evolution of funds of funds
Paul Ali
24 Natural resources fund of funds: essays on active management, risk management, and due diligence
25 Identifying and monitoring risk in a fund of hedge funds portfolio
Meredith A. Jones
26 The wizardry of analytics for funds of funds
Mary Fjelstad and Leola Ross
27 Quantitative hedge fund selection for fund of funds
Stephan Joehri and Markus Leippold