Fund selection, style allocation, and active management abilities: Evidence from funds of hedge funds’ holdings

2019 ◽  
Vol 49 (1) ◽  
pp. 135-159 ◽  
Author(s):  
Chao Gao ◽  
Timothy D. Haight ◽  
Chengdong Yin
Keyword(s):  
Hedge Funds ◽  
Active Management ◽  
Funds Of Hedge Funds

Rank Alpha Funds of Hedge Funds

CFA Digest ◽  
2006 ◽  
Vol 36 (2) ◽  
pp. 13-15
Author(s):  
Keith H. Black
Keyword(s):  
Hedge Funds ◽  
Funds Of Hedge Funds

scholarly journals Assessing the Performance of Funds of Hedge Funds

2011 ◽  
Author(s):  
Benoit Dewaele ◽  
Hugues Pirotte ◽  
Nils Tuchschmid ◽  
Erik Wallerstein
Keyword(s):  
Hedge Funds ◽  
Funds Of Hedge Funds

Liquidity Transformation and Financial Fragility: Evidence from Funds of Hedge Funds

2018 ◽  
Vol 54 (6) ◽  
pp. 2355-2381 ◽  
Author(s):  
Vikas Agarwal ◽  
George O. Aragon ◽  
Zhen Shi
Keyword(s):  
Hedge Funds ◽  
Financial Fragility ◽  
Funds Of Hedge Funds

We examine liquidity transformation by funds of hedge funds (FoFs) by developing a new measure, illiquidity gap, that captures the mismatch between the liquidity of their portfolios and the liquidity available to their investors. We find that higher liquidity transformation is driven by FoFs’ incentives to attract more capital and earn higher compensation. Greater liquidity transformation is associated with higher exposure to investor runs and worse performance during crisis periods. Finally, FoFs mitigate the risks associated with liquidity transformation by maintaining higher cash buffers.

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