‘Seeking Alpha’
The Performance of Funds of Hedge Funds
Willi Semmler, Christian Proaño and Raphaële Chappe, New School For Social Research, Economics Department, New York, NY, USA
Chapter Outline
19.1. Introduction
19.2. Theoretical Approaches to Model Hedge Fund Returns
19.2.1. Single-Asset Models
19.2.2. Multifactor Models
19.2.3. Some Issues in Linear Regression Models
Illiquidity Exposure and Serial Correlation
19.3. Regression Analysis
19.3.1. Factor Model Specification
19.3.2. Data Bias Issues
19.3.3. Data Description
19.4. Results
Conclusion
Annex
References
19.1 Introduction
One of the fastest growing sectors in the hedge funds industry is the funds of hedge funds (FoHFs) – hedge funds that invest in other hedge ...
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