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Each month the hedgegate team compiles an overview of Funds of Hedge Funds based on recent performance available on the hedgegate platform. This information can be viewed and printed by clicking on the various links below. Please note that the information relating to qualified investor products may only be viewed by registered users who are currently logged in.
The FoHFs are sorted initially by currency and then ranked by the performance rating applicable for the month in question (with A being the best, E the worst, TS („too short“) indicates that there is insufficient track-record to attribute a rating and NR („not rateable“) indicates that the FoHF-Performance is not rateable due to missing data). The third criteria is the 12 month return. Funds with an insufficient track record and those which have not delivered data are listed alphabetically.
The performance rating is based on three indicators; the annualised 4y return, alpha and CVaR. Every indicator is calculated using the previous 48 month returns. The alpha is estimated with a 19 factor regression model (consisting of linear as well as non-linear factors) and a variable selection with a soft thresholding procedure. The CVaR is based on a distribution with fat tails, called Normal Inverse Gaussian Distribution (NIG), and a significance level of 99%.
Please note, that the rating is based on historical performance figures, therefore NO predictive value should be assumed. Neither the rating nor the ranking constitute a recommendation to buy or sell any of the rated funds. ZHAW and hedgeanalytics AG do not assume any liability in case of incorrectly reported or incomplete information.
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Overview of our publications...
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Our next event takes place on the 15th of May in Zurich. This is an overview of our upcoming events.
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