Funds of hedge funds are diversified investment vehicles that provide investors with diversification either across managers within a specific hedge fund strategy or across a wide range of hedge fund strategies. In this paper, we contrast the performance of funds of hedge funds that diversify...

This article is a cross comparison of the different performance ratios between different types of hedge funds. The funds under study are long/short funds, market-neutral funds and event – driven funds. We use a sample free of survivorship bias and measure performance using risk adjusted...

We examine liquidity transformation by funds of hedge funds (FoFs) by developing a new measure, illiquidity gap, which captures the mismatch between the liquidity of their portfolios and the liquidity available to their investors. We find that higher liquidity transformation is driven by FoFs'...

Large publicly-held pools of assets are playing an increasingly prominent role in the global investment arena. We compare three distinct forms of such public funds, namely foreign exchange reserve funds, sovereign wealth funds, and public pension funds, to highlight their differences and...

This United States report responds to a questionnaire that the general reporter for the project prepared. The project describes United States law features of hedge funds, private equity funds and sovereign wealth funds and identifies critical current issues in their regulation and governance....

Banking operations are being rewired around a pair of KVA/FVA metrics which quantify market incompleteness, i.e. the impossibility of perfect replication. The FVA is the cost of funding of debt liabilities while the KVA is the risk adjustment for equity liabilities, also called cost of capital....

This text explores the current state of the art in quantitative investment management across seven key areas. Chapters by academics and practitioners working in leading investment management organizations bring together major theoretical and practical aspects of the field.

This article aims at testing empirically the performance persistence of funds of funds hedge funds. Funds of hedge funds invest solely in other hedge funds. The hedge fund manager selects funds based on a specific investment strategy or a combination of different investment strategies to achieve...