- Why EDHEC
- All programmes
- Executive Education
- Research and Innovation
-
Companies and careers
Working with and for companiesThe company is the focal point of EDHEC’s plan, and its reason for being.
- EDHEC Experience
Determinants of Funds of Hedge Funds' Performance
Despite institutional investors' growing interest in funds of hedge funds, little attention has been paid so far to their added value and/or the sources of their added value.
Author(s) :
Director of Research at EDHEC Business SchoolDirector of the EDHEC Risk and Asset Management Research Centre
Senior Research Engineer at the EDHEC Risk and Asset Management Research Centre
Presentation :
This is all the more striking in that funds of funds are far from transparent and, with their double-fee structure, are relatively costly investment vehicles. Our objective in this paper is to fill the gap and find out whether funds of funds add value through strategic allocation and active management. To this end, we ran a RBSA on a sample of 97 funds of funds over 1997/2004. 89% of the funds of funds turned out to add value at the strategic allocation level but only 31% at the active management level. Finally, only 20% of funds of funds created value through both strategic allocation and active management. In other words, if picking the best performing funds is a challenging task, picking the best performing funds of funds appears to be equally difficult.| Type : | Working paper |
|---|---|
| Date : | le 06/02/2006 |
| Extra information : | Pour plus d'informations, nous vous prions de vous adresser à Joanne Finlay, Direction de la recherche de l'EDHEC [ joanne.finlay@edhec.edu] Les opinions exprimées sont celles de l'auteur et n'engagent pas la responsabilité de l'EDHEC. |
| Research Cluster : | Finance |
See Also
About EDHEC
Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 20 business schools. Fully international and directly connected to the business world, EDHEC is a school for business, rather than a business school, where excellence in teaching and research focuses on innovation to stimulate entrepreneurship and creativity. For business from birth and dedicated to business, EDHEC makes entrepreneurs for life, able to remodel or create successful businesses wherever they work.
EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching philosophy, inspired by its award-winning research activities, focuses on “learning by doing”.
