The performance and diversification benefits of funds of hedge funds

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dc.contributor.author Denvir, Emily
dc.contributor.author Hutson, Elaine
dc.date.accessioned 2010-05-18T16:03:43Z
dc.date.available 2010-05-18T16:03:43Z
dc.date.copyright 2005 Elsevier B.V. en
dc.date.issued 2006-02
dc.identifier.citation Journal of International Financial Markets, Institutions and Money en
dc.identifier.issn 1042-4431
dc.identifier.uri http://hdl.handle.net/10197/1990
dc.description.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. Relative to the hedge fund index, we find that FOHFs have lower correlations 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. en
dc.description.sponsorship Not applicable en
dc.format.extent 4304 bytes
dc.format.mimetype application/pdf
dc.language.iso en en
dc.publisher Elsevier en
dc.subject Fund of hedge funds en
dc.subject Diversification en
dc.subject Skewness en
dc.subject.classification G11 en
dc.subject.classification G15 en
dc.subject.lcsh Hedge funds--Evaluation en
dc.subject.lcsh Investments--Evaluation en
dc.title The performance and diversification benefits of funds of hedge funds en
dc.type Journal Article en
dc.internal.availability Full text not available en
dc.internal.webversions Publisher's version en
dc.internal.webversions http://dx.doi.org/10.1016/j.intfin.2004.12.002 en
dc.status Peer reviewed en
dc.identifier.volume 16 en
dc.identifier.issue 1 en
dc.identifier.startpage 4 en
dc.identifier.endpage 22 en
dc.identifier.doi 10.1016/j.intfin.2004.12.002
dc.neeo.contributor Denvir|Emily|aut| en
dc.neeo.contributor Hutson|Elaine|aut|UCD0044 en


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