Quantitative Insight into Management of Funds of Hedge Funds and Consequences on Fund Alpha Performance
Justina Dambrauskaite∗, Haidar Haidar†, Bernard Minsky∗ and Qi Tang†, ∗International Asset Management Ltd., London, UK, †University of Sussex, Department of Mathematics, Brighton, UK
Chapter Outline
20.1. Introduction
20.2. Principal Components Analysis
20.3. Data and the Nature of the First Two Principal Components
20.4. Classification and Alpha Performance Evaluation in the Recent Financial Crisis
20.5. The ‘Pro-Active’ Nature of FoHFs
20.6. The Story of the Financial Crisis of 2008–2009 and Subsequent Developments
20.6.1. Total Number of Funds in Existence for Reporting
20.6.2. Change in ‘Staying in Class’ Mentality
Conclusion ...
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