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Reconsidering Funds of Hedge Funds by Greg N. Gregoriou

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Chapter 19

‘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

Non-Linearities

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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