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Reconsidering Funds of Hedge Funds by Greg N. Gregoriou

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Chapter 6

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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