@Article{mfj:1661,
title={Are Funds of Hedge Funds Efficient? An Empirical Analysis for North American, Asia Pacific, and European Long/Short Funds of Hedge Funds},
author={Lan Nguyen and Cheng Yu and Malick Sy and Sayed Hossain and Chen Tan},
journal={Multinational Finance Journal},
volume={},
number={},
pages={--},
year=,
publisher={Multinational Finance Society; Global Business Publications},
url={http://www.mfsociety.org/}
keywords={},
abstract={This study aims to confirm whether funds of hedge funds (FOFs) truly offer better diversification benefits to investors. Data from three Eureka Hedge Inc.'s databases for North American, European, Asia- Pacific, and funds of hedge funds are employed for a period of 1st January 2008 and 30th April 2016. Only FOFs and other hedge funds with long/short and multi-strategy strategies are selected for this study due to their dominance in the hedge fund industry. Mean-variance optimization method is employed to construct replicating portfolios of long/short equity and multi-strategy hedge funds investing in global as well as in Asia-Pacific, European, and North-American markets. The performance of these portfolios are then compared with the actual FOFs with similar strategies and geographical markets. This study concludes that FOFs do not offer superior diversification benefits to hedge fund investors; and that an efficient portfolio of hedge funds may be still a better alternative..},
}