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Reconsidering Funds of Hedge Funds by Greg N. Gregoriou

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Chapter 25

Autocorrelation, Bias, and Fat Tails

An Analysis of Funds of Hedge Funds

Martin Eling, Professor Dr. Martin Eling, Institute of Insurance Economics I.VW-HSG, University of St. Gallen, St.Gallen, Switzerland

Chapter Outline

25.1 Introduction

25.2 Data and Strategies

25.3 Classical Performance Measurement

25.4 Problems of Classic Performance Measurement

25.5 Integrating the Problems in Performance Measurement

25.6 Adjusted Hedge Fund Performance Measurement

25.7 Analysis of Subperiods (Pre-Crisis and Post-Crisis)

Conclusion

References

25.1 Introduction

Funds of hedge funds (FoHFs) have become an increasingly popular investment vehicle in the past decade, especially due to their low correlation with stocks and bond markets. However, there ...

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