Fung, William; Hsieh, David A; Naik, Narayan; … - C.E.P.R. Discussion Papers - 2006
We use a comprehensive dataset of Funds-of-Hedge-Funds (FoFs) to investigate performance, risk and capital formation in the hedge fund industry over the past ten years. We confirm the finding of high systematic risk exposures in FoF returns. We divide up the past ten years into three distinct...