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Diversification Strategies and the Performance of Funds of Hedge FundsNa DaiState University of New York at Albany - School of Business & Center for Institutional Investment Management Hany A. ShawkyState University of New York at Albany - School of Business and Center for Institutional Investment Management December 3, 2010 Abstract: Funds of hedge funds are diversified investment vehicles that provide investors with diversification either across managers within a specific hedge fund strategy or across a wide range of hedge fund strategies. In this paper, we contrast the performance of funds of hedge funds that diversify across managers (but stay within a single hedge fund strategy) versus those that diversify across managers and hedge fund strategies. Our empirical results provide strong evidence in favor of the later. Funds of hedge funds that diversify across both managers and strategies outperform those funds that diversify across managers but stay within a single hedge fund strategy.
Number of Pages in PDF File: 20 Keywords: Diversification, fund of hedge funds, specialization, performance JEL Classification: G10, G11, G12 working papers seriesDate posted: December 5, 2010Suggested CitationContact Information
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