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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