This chapter analyzes the aggregate performance of a series of funds of hedge funds (FoHFs) as captured by BarclayHedge hedge fund data in a panel context. The analysis features a study of the sensitivity of the quantiles of the hedge fund return distributions to a set of factors chosen to capture the size of the FoHFs, movements of global stock markets, interest rates, and currencies. This study analyzes 152 FoHFs drawn from the BarclayHedge FoHFs database for the time period from January 2002 to December 2011, covering 10 years. The comparative analysis between a linear regression panel model and a panel quantile regression model shows that the effect of the factor (or explanatory variable) changes across quantiles of the FoHFs return distribution.
|Title of host publication||Reconsidering funds of hedge funds|
|Subtitle of host publication||the financial crisis and best practices in UCITS, tail risk, performance, and due diligence|
|Editors||Greg N. Gregoriou|
|Place of Publication||Oxford|
|Number of pages||12|
|Publication status||Published - 2013|