Choice of Risk Measure in Evaluating UCITS Funds of Hedge Funds
Alessandro Carretta and Gianluca Mattarocci, University of Rome Tor Vergata, School of Economics, Department of Economics and Finance, Rome, Italy
Chapter Outline
6.1. Introduction
6.2. Literature Review
6.3. Empirical Analysis
6.3.1. Sample
6.3.2. Methodology
6.3.3. Results
Conclusion
Acknowledgments
References
6.1 Introduction
Funds of hedge funds (FoHFs) are funds that invest in hedge funds with various styles while constantly monitoring their performance and assessing portfolio-rebalancing opportunities as a result of adverse market environments (Gregoriou, 2003). The main advantage of a FoHF over a direct investment in hedge funds is that investors have access to a ...
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