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Primary Article

Determinants of Funds of Hedge Funds' Performance

Noël Amenc and Mathieu Vaissié
The Journal of Investing Winter 2006, 15 (4) 46-52; DOI: https://doi.org/10.3905/joi.2006.669098
Noël Amenc
A professor of finance and head of the Risk and Asset Management Research Centre at the Edhec Graduate School of Business in Nice, France.
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  • For correspondence: noel.amenc@edhec.edu
Mathieu Vaissié
A senior research engineer at the Edhec Risk and Asset Management Research Centre in Nice, France.
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  • For correspondence: mathieu.vaissie@edhec.edu
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Abstract

Despite institutional investors' growing interest in funds of hedge funds, little attention has been paid thus far to their added value and/or the sources of their added value. This is all the more striking in that funds of funds are far from transparent and are, with their double-fee structure, relatively costly investment vehicles. The authors' objective, as explained in this article, is to fill this research gap and find out whether funds of funds add value through strategic allocation and active management. To this end, the authors ran a return-based style analysis on a sample of 97 funds of funds over the period from 1997 to 2004. The authors found that 89% of the funds of funds added value at the strategic allocation level, but only 31% added value 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 best performingfunds is a challenging task, picking best performing funds of funds appears to be equally difficult.

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The Journal of Investing
Vol. 15, Issue 4
Winter 2006
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Determinants of Funds of Hedge Funds' Performance
Noël Amenc, Mathieu Vaissié
The Journal of Investing Nov 2006, 15 (4) 46-52; DOI: 10.3905/joi.2006.669098

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Determinants of Funds of Hedge Funds' Performance
Noël Amenc, Mathieu Vaissié
The Journal of Investing Nov 2006, 15 (4) 46-52; DOI: 10.3905/joi.2006.669098
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