RT Journal Article
SR Electronic
T1 Portfolios of Hedge Funds
JF Special Issues
FD Institutional Investor Journals
SP 81
OP 88
VO 2002
IS 1
A1 Gaurav S. Amin
A1 Harry M. Kat
YR 2002
UL https://pm-research.com/content/2002/1/81.abstract
AB The authors investigate the performance of baskets of hedge funds ranging in size from one to twenty funds. The analysis shows that increasing the number of funds can be expected to lead not only to a lower standard deviation but also to the less attractive result of lower skewness and increased correlation with the stock market. Most of the change occurs for relatively small portfolios. Holding more than fifteen funds changes little. An efficiency test indicates that one needs to combine only a small number of funds to obtain a much more efficient risk-return profile than that offered by the average individual hedge fund.