Autocorrelation, Bias, and Fat Tails
An Analysis of Funds of Hedge Funds
Martin Eling, Professor Dr. Martin Eling, Institute of Insurance Economics I.VW-HSG, University of St. Gallen, St.Gallen, Switzerland
Chapter Outline
25.1 Introduction
25.2 Data and Strategies
25.3 Classical Performance Measurement
25.4 Problems of Classic Performance Measurement
25.5 Integrating the Problems in Performance Measurement
25.6 Adjusted Hedge Fund Performance Measurement
25.7 Analysis of Subperiods (Pre-Crisis and Post-Crisis)
Conclusion
References
25.1 Introduction
Funds of hedge funds (FoHFs) have become an increasingly popular investment vehicle in the past decade, especially due to their low correlation with stocks and bond markets. However, there ...
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