Hedge Fund Selection for Family Offices: A Trading Strategy Based on Risk-adjusted Performance Measures
ISSN
2190-7927
Type
conference paper
Date Issued
2011-07-05
Author(s)
Abstract
In recent years portfolio management within a large universe of hedge funds has become a key area of research. In this paper, the authors propose a strictly quantitative hedge fund investment approach that is of straightforward practical relevance for family office practitioners. It can be shown that portfolios constructed under the new approach are able to considerably outperform an equally-weighted index of hedge funds in an out-of-sample analysis. Thus, there seems to be evidence that the proposed approach represents a valuable tool for investors.
Language
English
Keywords
Hedge Funds
Trading
Risk-adjusted Performance Measures
Investment Selection
Family Offices
HSG Classification
contribution to scientific community
HSG Profile Area
SoM - Responsible Corporate Competitiveness (RoCC)
Refereed
Yes
Book title
Conference Proceedings of the Finance and Economics Conference 2011
Publisher
LCBR (Frankfurt, M.)
Start page
61
End page
74
Pages
14
Event Title
Finance and Economics Conference 2011, Conference Proceedings of the Finance and Economics Conference 2011 (61-74). LCBR
Event Location
Frankfurt, M., 2011
Subject(s)
Division(s)
Eprints ID
239954