PT  - JOURNAL ARTICLE
AU  - François-Serge Lhabitant
AU  - Michelle Learned
TI  - Hedge Fund Diversification
AID  - 10.3905/jai.2002.319062
DP  - 2002 Dec 31
TA  - The Journal of Alternative Investments
PG  - 23--49
VI  - 5
IP  - 3
4099  - https://pm-research.com/content/5/3/23.short
4100  - https://pm-research.com/content/5/3/23.full
AB  - There are many benefits to investing in hedge funds, particularly when using a diversified multi-strategy approach. Over recent years, multi-strategy funds of hedge funds have flourished and are now the favorite investment vehicle of institutional investors exploring the world of alternative investments. More recently, funds of hedge funds that specialize within an investment style have also emerged. The authors study the impact of diversification on naively constructed (randomly chosen and equally weighted) hedge fund portfolios. They provide insight into style diversification benefits as well as the inter-temporal evolution of diversification effects on hedge funds.