Neutralizing Betas without Neutralizing Alphas in Funds of Hedge Funds
Craig W. French
SportSafety Labs, LLC
Jim Kyung-Soo Liew
Johns Hopkins University - Carey Business School
November 29, 2004
Identification of the relevant factors that drive hedge fund returns is an important component to institutional quality fund of funds investing. We focus specifically on the importance of analyzing the alpha and beta return generators. Additionally, we discuss tail-risk management and the practical methods for mitigation of the point mis-estimation problem in mean-variance optimization of portfolios of hedge funds.
Number of Pages in PDF File: 32
Keywords: hedge fund, factor model, serial correlation, portfolio construction, asset allocation, skew
JEL Classification: G00working papers series
Date posted: April 4, 2008
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