Citation

Nguyen, Thi Phuong Lan and Tan, Booi Chen and Sy, Malick O. and Yu, Cheng M. and Hossain, Sayed (2019) "Are Funds of Hedge Funds Efficient? An Empirical Analysis for North American, Asia Pacific, and European Long/Short Funds of Hedge Funds". Multinational Finance Journal, 23 (1&2). pp. 37-64. ISSN 1096-1879

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Abstract

This study aims to examine whether long/short funds of hedge funds truly provide better diversification benefits to hedge fund investors as compared to efficient portfolios of long/short hedge funds in North America, Europe, and Asia Pacific. Data of long/short hedge funds and long/short FOHFs are obtained from Eurekahedge databases from 1st January 2008 to 31st December 2016. Mean-variance optimization method is employed to construct efficient portfolios of 100 long/short hedge funds with highest Sharpe ratios for each of the selected regions. To ensure the robustness of our findings, two rolling windows of observation are set up for a comparative analysis. This study concludes that most of the single-region focused long/short FOHFs in the sample, did not outperform the constructed efficient portfolios of long/short hedge funds investing in the same region. In fact, many long/short FOHFs did not survive more than a period of six years as observed in this study.

Item Type:	Article
Uncontrolled Keywords:	Funds of hedge funds; long/short strategy; diversification; efficient portfolios; mean-variance method
Subjects:	H Social Sciences > HC Economic History and Conditions > HC79 Special Topics. Including air pollution, automation, consumer demand, famines, flow of funds, etc.
Divisions:	Faculty of Management (FOM)
Depositing User:	Ms Suzilawati Abu Samah
Date Deposited:	10 May 2022 02:13
Last Modified:	10 May 2022 02:13
URII:	http://shdl.mmu.edu.my/id/eprint/9439

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