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Reconsidering Funds of Hedge Funds by Greg N. Gregoriou

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Chapter 22

Funds of Hedge Funds Strategies and Implications for Asset Management

Is Diversification Enough?

Simone Siragusa, Università della Svizzera Italiana, Lugano, Switzerland

Chapter Outline

22.1. Introduction and Literature Review

22.2. Data

22.3. Factor Model (Risk Factors)

22.4. Portfolio Allocation with Hedge Funds and FoHFs

22.5. Certainty Equivalence and Portfolio Allocation with FoHFs

Conclusion

References

22.1 Introduction and Literature Review

Selling a fund of hedge funds (FoHF) to investors requires that the manager perform due diligence with each underlying hedge fund manager and simultaneously provide proper diversification of hedge fund strategies. The simple time-tested and appealing concept of diversification of ‘Don’t put ...

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