Fund selection, style allocation, and active management abilities: Evidence from funds of hedge funds’ holdings
研究对冲基金中基金（FOHF）经理通过基金选择、风格配置和主动管理能否带来超额收益，发现经理在基金选择和主动管理上创造价值，但风格配置能力证据不一。
Abstract This study examines whether funds of hedge funds (FOHFs) provide superior before‐fee performance through managers’ fund selection, style allocation, and active management abilities. Using reported holdings of Securities and Exchange Commission–registered FOHFs, we find that FOHF managers have fund selection abilities, as hedge funds held by FOHFs outperform their style indices and over half of the individual hedge funds in the Lipper Trading Advisor Selection System (TASS) database. We also find that FOHF managers add value through active management of FOHFs’ holdings, while evidence on their style allocation abilities is mixed. Our findings suggest that FOHFs generate superior before‐fee performance and that FOHF managers’ skillset is broader than previously documented. Thus, our study helps explain why FOHFs continue to survive and suggests that FOHF fee structure reform merits consideration.