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5 Implementing the measures: a fund-of-funds perspective.(Portfolio Performance Evaluation)
- Article from:
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Foundations and Trends in Finance
- Article date:
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April 1, 2006
- Author:
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;
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Copyright informationCOPYRIGHT 2006 Now Publishers, Inc. This material is published under license from the publisher through the Gale Group, Farmington Hills, Michigan. All inquiries regarding rights should be directed to the Gale Group. (Hide copyright information)
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This chapter provides a hypothetical application of the techniques used to evaluate a given set of portfolios. The main goal is to illustrate the required steps for avoiding the pitfalls associated with data biases, performing the statistical tests, and interpreting the results. The application is developed from the perspective of a funds-of-funds (FOF) hedge fund manager. Evaluating the performance of hedge funds is a major responsibility for FOF managers. This task is complicated by the voluntary reporting of historical returns and the lack of transparency about the underlying strategies.
5.1 Evaluating a Set of Individual Hedge Funds
Imagine that in early 2006, an ...
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