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- W48046523 abstract "This chapter investigates (i) the relationship between flows and performance, and (ii) how the geographical location, currency trading, strategy, and geographical focus affect the risk-adjusted performance of funds of hedge funds (FoHFs) that only allocate to single managers that are structured in accordance with the ‘Undertaking in Collective Investment in Transferable Securities’ (UCITS). We use UCITS-compliant FoHFs from the BarclayHedge database for the period March 2006–December 2011 and investigate the pre- and post-crisis as well as the crisis periods. We use the Fung and Hsieh (2004) return decomposition model to adjust the returns for several risk factors. We find that over the sample period the correlation between flows and returns is generally weak (–0.02), but becomes stronger during extreme market movements like that between September 2008 and March 2009 (e.g., 0.48). More recently, the worsening of the European sovereign debt crisis in the second half of 2011 and the geographical proximity of UCITS FoHFs to those risks has led to stalled growth and even decreases of UCITS FoHFs assets under management even as their performance has increased." @default.
- W48046523 created "2016-06-24" @default.
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- W48046523 date "2013-01-01" @default.
- W48046523 modified "2023-09-26" @default.
- W48046523 title "How Geography, Flows, and Size Affect the Risk-Adjusted Performance of UCITS III Funds of Hedge Funds" @default.
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- W48046523 doi "https://doi.org/10.1016/b978-0-12-401699-6.00009-5" @default.
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