Title: Fund of hedge fund portfolio construction process in the new era of risk

Authors: Alex Allen; Jérôme Huillard; Stavros Siokos

Addresses: Sciens Capital Limited, 25 Berkeley Square, London W1J 6HN, UK ' Sciens Capital Limited, 25 Berkeley Square, London W1J 6HN, UK ' Sciens Capital Limited, 25 Berkeley Square, London W1J 6HN, UK

Abstract: In this paper, we outline a distinctive approach that we utilise to the processes involved in the traditional value proposition of FoHFs - manager selection, portfolio construction and monitoring - and highlight the added flexibility and transparency benefits we obtain by choosing, where appropriate, to access managers via managed accounts.

Keywords: fund of hedge funds; FoHFs; portfolio management; portfolio construction; risk; managed accounts; alpha; manager selection; portfolio monitoring; flexibility; transparency.

DOI: 10.1504/IJPAM.2013.054400

International Journal of Portfolio Analysis and Management, 2013 Vol.1 No.3, pp.207 - 223

Received: 29 Mar 2012
Accepted: 31 Mar 2012
Published online: 05 Jul 2014 *

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