There is extensive empirical evidence that funds of hedge funds (FoHFs) quickly change their investment bets as a function of the changing market conditions. In this chapter, we first analyze the stability of risk exposure and performance of FoHFs during the period January 2005-June 2011. We...

We define the outperformance (resp. underperformance) of an investment fund as the percentage of funds in the peer universe for which the true performance of the focal fund is higher (resp. lower). We show that the p-values of the pairwise tests of equal performance can be used to obtain...

The choice of weighting method in constructing equity portfolio affects not only the financial performance, but also its Shariah-compliance. We show how the implicit bets in market capitalization weights, fundamental value weights, equal weights and low risk weights can affect the individual's...