The following research paper was selected for presentation in the Due Diligence Forum program at PortfolioConstruction Conference 2008.

Category
Subcategory

Alternatively
Fund of Hedge Funds

Due Diligence Forum speaker

Adrian Gmuer
Business Head
RMF Investment Management Asia
brought to you by Man Investments

Due Diligence Forum summary

The core philosophy of fund-of-fund investing is to generate absolute returns with low correlation to traditional asset classes. While promoting investment utopia to advisers, fund-of-funds remain in the spotlight for their perceived correlation with major equity markets and performance during periods of market stress.

This presentation and underlying research paper analyses the time-varying nature of correlations between fund-of-funds and traditional asset classes with a specific focus on analysing performance during crisis periods. They develop an intuitive framework to analyse fund-of-fund returns and measure what are genuine skill-based returns versus expensive beta.