Investigating diversification in funds of hedge funds

The summer months proved once again that despite the best intentions of investors to build diversified investments, strategies can move together, and at times those co-movements can occur exceedingly quickly.

Indeed, for the month of August, the returns across most of the MSCI Hedge Fund Index (HFI) categories were negative.

One would have to look back to April 2005 to find a similar period of such widespread negative returns across hedge fund strategies. September then saw all of the index

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