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Reconsidering Funds of Hedge Funds by Greg N. Gregoriou

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Chapter 13

Normalized Risk-Adjusted Performance Measures Revisited

The Performance of Funds of Hedge Funds Before and After the Crisis

Laurent Bodson, Laurent Cavenaile and Alain Coën∗∗, Head of Asset Management, Gambit Financial Solutions SA, Liège, Belgium, Department of Economics, New York University, New York, NY, USA, ∗∗Professor of Finance, Department of Finance, ESG-UQAM, Graduate School of Business, University of Quebec in Montreal (UQÀM), Montreal, QC, Canada

Chapter Outline

13.1. Introduction

13.2. Theoretical Framework

13.2.1. Performance Measures

13.2.2. Adaptation of Performance Measures for Illiquidity

13.2.3. Asset Pricing Model and EIVs

13.3. Data and Empirical Method

13.3.1. The Data and Adjusted Return Series

13.3.2. The ...

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