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• W2597173611 abstract "In this chapter we apply the performance evaluation framework introduced in Eling (2006) to funds of hedge funds (FoHFs). The performance evaluation takes into account autocorrelation, bias, and fat tails in returns, and is an adjusted version of the modified Sharpe ratio presented by Gregoriou and Gueyie (2003) . Under this performance measure we analyze FoHFs performance over the period 1994–2011 and in different subperiods (pre-crisis and post-crisis). We find that FoHFs lose some of their attractiveness when autocorrelation, bias, and fat tails in returns are taken into account. Moreover, we document the substantially lower performance of FoHFs following the financial crisis. It thus seems that some FoHFs are still recovering from losses incurred during the financial crisis." @default.
• W2597173611 created "2017-03-23" @default.
• W2597173611 creator A5064432251 @default.
• W2597173611 date "2013-01-01" @default.
• W2597173611 modified "2023-09-26" @default.
• W2597173611 title "Autocorrelation, Bias, and Fat Tails" @default.
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• W2597173611 doi "https://doi.org/10.1016/b978-0-12-401699-6.00025-3" @default.
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