One thought on “Funds of Hedge Funds

  1. Chapter highlights:
    1) Use several methods for computing Alpha, and optimize based on the ranking. Rankings are more robust than actual estimates.
    2) Performance persistence in Hedge Fund of Funds. It exists, but mainly on the volatility/sharpe ratio.
    3) Judge manager performance based on the Kat return distribution method. Kat (2005) appears to have a method which replicates higher moment of the distribution, as well as correlation to a broad reference index.

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