Chapter 20

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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