This paper aims to analyze and develop systematic methods to construct funds of funds (FOF) products investing in Chinese hedge funds, with low risk, high return and high Sharpe Ratio, or other ideal characteristics required by investors. Using performance data of more than 600 hedge funds, we...

This paper provides evidence on the interaction between hedge funds' performance and their market liquidity risk and funding liquidity risk. We demonstrate that funding liquidity risk is an important determinant of hedge fund performance. Hedge funds with high loadings on the funding liquidity...

Standard tests for persistence in hedge fund performance are not consistent with investment practices because they ignore performance reporting delay, overlook fund selection standards of institutional investors, and often use portfolios with too many funds. This paper introduces a set of tests...

This article discusses the state-of-the-art in applying returns-based analyses to hedge funds. The article pays particular attention to those hedge fund strategies where the use of either derivatives or dynamic trading strategies can lead to highly asymmetric outcomes

Hedge funds do not easily fit into the current way institutions go about investing. Based on a survey of recent academic and practitioner research, this article reviews six competing frameworks for how to incorporate hedge funds in institutional portfolios. Each framework has very different...

On the tracking and replication of hedge fund optimal investment portfolio strategies in global The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to...

We analyse the evolution of the hedge fund industry and try to assess whether this alternative investment class makes sense over the traditional one. We are concerned with the impact of the crisis. Common sense tells us that that during phases of market euphoria, possibly due to over-optimism,...

A typical hedge fund manager receives greater compensation when the fund has a strong absolute or relative performance. Asymmetric performance fees and fund flow-performance relationship may create incentives for risk-shifting, estimated in our study by the change in fund return volatility in...

Forming top quintile portfolios on the Sharpe ratio, the alpha, the information ratio, the excess manipulation proof performance measure EMPPM and the doubt ratio; we find that these portfolios persistently outperform similarly constructed mediocre third quintile portfolios throughout the twelve...

We study the effect of share restrictions on the flow-performance relation of individual hedge funds. Consistent with the predictions of our model, hedge funds exhibit a convex flow-performance relation in the absence of share restrictions, similar to mutual funds. However, in the presence of...