Investing in hedge funds can be a risky business. For this reason, it is logical to assume funds of hedge funds (FoHFs) should protect themselves by diversifying across as many underlying hedge funds as possible.
However, a recent academic study led by Stephen Brown, a professor of finance at New York University’s Stern School of Business, challenges this assumption. A misplaced emphasis on diversification may be contributing to performance degradation and increased tail risk in FoHFs, according
The week on Risk.net, December 9–15 2017Receive this by email