Reconsidering Funds of Hedge Funds

Chapter 21

Selecting Top Funds of Hedge Funds Based on Alpha and Other Performance Measures

Ying-Lin Hsu^∗, Chung-Ming Kuan^† and Stéphane M.F. Yen^∗∗, ^∗Department of Applied Mathematics and Institute of Statistics, National Chung Hsing University, Taichung, Taiwan (R.O.C.), ^†National Taiwan University, Department of Finance, Taipei, Taiwan (R.O.C.), ^∗∗National Cheng Kung University, Department of Accounting and Institute of Finance and Banking, Tainan, Taiwan (R.O.C.)

Chapter Outline

21.1. Introduction and Literature Review

21.2. Impact of the Subprime Crisis

21.3. Performance Metrics

21.4. Summary Statistics of FoHFs Before and After the Subprime Crisis

21.5. How Does One Select ‘Elite’ FoHFs?

21.6. Identified FoHFs Managers with Genuine Skill ...