
178 On t he f ro nt l in e
Speaking from personal experience, it is incredibly hard to generate 10
per cent gross alpha every year. If you did, funds of funds would love
you and invest lots of money with you, and simply gear their investment
in your fund to fit their risk profile. The holy grail of funds-of-funds
investing is to create a portfolio of hedge funds with no correlation to
markets or each other, thus almost guaranteeing continued positive
performance. Unfortunately there is very little doubt that we as an
industry don’t create an average of 10 per cent alpha per year; we create
far less and correlate quite