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Record W2066778689 · doi:10.3905/jwm.2003.320468

The Mortality of Funds of Hedge Funds

2003· article· en· W2066778689 on OpenAlexaff
Greg N. Gregoriou

Bibliographic record

Venue˜The œjournal of wealth management · 2003
Typearticle
Languageen
FieldEconomics, Econometrics and Finance
TopicFinancial Markets and Investment Strategies
Canadian institutionsUniversité du Québec à Montréal
Fundersnot available
KeywordsAlternative betaHedge fundGlobal assets under managementPassive managementFund of fundsOpen-end fundInstitutional investorBusinessData envelopment analysisAlternative investmentHedge accountingPensionCommodity poolPerformance feeActuarial scienceFinanceMathematicsStatisticsCorporate governance

Abstract

fetched live from OpenAlex

The author applies data envelopment analysis (DEA) and uses the basic, cross-evaluation, and super-efficiency models to evaluate the performance of the fund of hedge funds classification (a basket of hedge funds). The purpose of alternative investment strategies such as funds of hedge funds is to offer absolute returns, so using passive benchmarks to measure their performance may be ineffective. With the ever-increasing number of funds of hedge funds, there is an urgency to provide money managers, pension funds, and high-net-worth individuals with a trustworthy appraisal method in ranking their efficiency. DEA can achieve this, and one important benefit of this measure is that benchmarks are not required, thereby alleviating the problem of using traditional benchmarks to examine non-normal returns. This article aims to investigate funds of hedge funds and to identify the funds that have achieved superior performance or, in other words, have an efficiency score of 100 in a risk/return setting.

Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.

How this classification was reachedexpand

Full frame distilled prediction

Teacher imitation

Not calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.

metaresearch head score (Codex)0.003
metaresearch head score (Gemma)0.000
Version: codex-gemma-dda1882f352aValidation status: machine_predicted_unvalidated
Candidate categoriesnone
Consensus categoriesnone
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Theoretical or conceptual · Consensus signal: none
GenreCandidate signal: Empirical · Consensus signal: none
Teacher disagreement score0.792
Threshold uncertainty score0.299

Codex and Gemma teacher scores by category

CategoryCodexGemma
Metaresearch0.0030.000
Meta-epidemiology (narrow)0.0000.000
Meta-epidemiology (broad)0.0000.000
Bibliometrics0.0000.000
Science and technology studies0.0000.000
Scholarly communication0.0000.000
Open science0.0000.000
Research integrity0.0000.000
Insufficient payload (model declined to judge)0.0000.000

Machine scores (provisional)

The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.

Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.

Opus teacher head0.043
GPT teacher head0.252
Teacher spread0.208 · how far apart the two teachers sit on this one work
Validation statusscore_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it

Classification

machine, unvalidated

Machine predicted; a candidate call from one teacher head, not a consensus.

The models applied no category: nothing in the taxonomy fit this work.
Study designTheoretical or conceptual
Domainnot available
GenreEmpirical

How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".

Quick stats

Citations25
Published2003
Admission routes1
Has abstractyes

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