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Reconsidering Funds of Hedge Funds by Greg N. Gregoriou

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Chapter 18

The Short-Run Performance Persistence in Funds of Hedge Funds

David Ardia and Kris Boudt, University Laval, Québec City, Québec, Canada, KU Leuven, Leuven, Belgium

Chapter Outline

18.1. Introduction

18.2. Data

18.3. Time Variation in FoHFs Risk Exposure

18.4. Time Variation in Performance

18.5. Back-Test on Short-Run Performance Persistence

Conclusion

Acknowledgments

References

18.1 Introduction

In this chapter, we study the stability of risk exposure and performance of funds of hedge funds (FoHFs) over recent years. Our research universe consists of the Hedge Fund Research (HFR) database over a period ranging from January 2005 to June 2011, thus covering the pre-crisis period (January 2005–August 2007), crisis period (September ...

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