The table below provides the regression outputs of the fund of hedge funds index (HFRFOF) and

other various data providers all-hedge fund indices on the Fung Hsieh 7-factors for two sample

periods. * and ** suggest a significant result for the 5% and 1% level respectively:

1.Describe and compare the performance of the HFRI and TASSAVG indices in both sample periods. Note that the HFRI index does not include CTAs.

2. Compare the alphas between the fund of hedge funds and the rest indices in both periods. Explain possible differences.

Factor HFRFOF February 1995-September 1998 Intercept 0.00488 (0.00211)* S&P 0.02228 (0.05097) SC-LC 0.16584 (0.07555)* 1 -2.17529 (1.29118) CredSpr -8.84449 (2.63717)** BdOpt 0.00267 (0.01672) FXOpt 0.00560 (0.00836) ComOpt 0.00769 (0.01610) R 0.405 April 2000-December 2002 Intercept 0.00210 (0.00190) S&P 0.04245 (0.04188) SC-LC 0.17205 (0.05179)** 10Y -2.20149 (0.90190)** CredSpr -1.82780 (1.39932) BdOpt -0.00177 (0.00857) FXOpt 0.00167 (0.00986) ComOpt 0.02361 (0.01824) R 0.540 HFRI 0.00594 (0.00173)** 0.03055 (0.04178) 0.35425 (0.06192)** -1.69288 (1.05832) -3.20838 (2.16156) -0.00255 (0.01370) 0.00558 (0.00685) 0.00150 (0.01320) 0.552 0.00400 (0.00179)* 0.06440 (0.03964) 0.27450 (0.04901)** -2.16200 (0.85356)** -1.27083 (1.32431) -0.00296 (0.00811) 0.00670 (0.00933) 0.03580 (0.01726)* 0.717 TASSAVG 0.00834 (0.00184)** 0.00516 (0.04444) 0.26437 (0.06586)** -1.37452 (1.12567) -3.97172 (2.29912)* 0.00429 (0.01457) 0.01246 (0.00729)* 0.02430 (0.01404)* 0.456 0.00501 (0.00153)** 0.05858 (0.03384)* 0.22972 (0.04184)** -1.55506 (0.72865)* -0.74526 (1.13053) 0.00166 (0.00692) 0.01551 (0.00797)* 0.02097 (0.01474) 0.712 MSCI 0.00967 (0.00175)** -0.01507 (0.04231) 0.28196 (0.06271)** -1.23181 (1.07186) -1.87101 (2.18921) -0.00719 (0.01388) 0.02086 (0.00694)** 0.01595 (0.01336) 0.494 0.00576 (0.00156)** 0.05202 (0.03437) 0.19147 (0.04250)** -0.40285 (0.74013) 0.09160 (1.14832) 0.00715 (0.00703) 0.02178 (0.00809)** 0.00813 (0.01497) 0.620 Factor HFRFOF February 1995-September 1998 Intercept 0.00488 (0.00211)* S&P 0.02228 (0.05097) SC-LC 0.16584 (0.07555)* 1 -2.17529 (1.29118) CredSpr -8.84449 (2.63717)** BdOpt 0.00267 (0.01672) FXOpt 0.00560 (0.00836) ComOpt 0.00769 (0.01610) R 0.405 April 2000-December 2002 Intercept 0.00210 (0.00190) S&P 0.04245 (0.04188) SC-LC 0.17205 (0.05179)** 10Y -2.20149 (0.90190)** CredSpr -1.82780 (1.39932) BdOpt -0.00177 (0.00857) FXOpt 0.00167 (0.00986) ComOpt 0.02361 (0.01824) R 0.540 HFRI 0.00594 (0.00173)** 0.03055 (0.04178) 0.35425 (0.06192)** -1.69288 (1.05832) -3.20838 (2.16156) -0.00255 (0.01370) 0.00558 (0.00685) 0.00150 (0.01320) 0.552 0.00400 (0.00179)* 0.06440 (0.03964) 0.27450 (0.04901)** -2.16200 (0.85356)** -1.27083 (1.32431) -0.00296 (0.00811) 0.00670 (0.00933) 0.03580 (0.01726)* 0.717 TASSAVG 0.00834 (0.00184)** 0.00516 (0.04444) 0.26437 (0.06586)** -1.37452 (1.12567) -3.97172 (2.29912)* 0.00429 (0.01457) 0.01246 (0.00729)* 0.02430 (0.01404)* 0.456 0.00501 (0.00153)** 0.05858 (0.03384)* 0.22972 (0.04184)** -1.55506 (0.72865)* -0.74526 (1.13053) 0.00166 (0.00692) 0.01551 (0.00797)* 0.02097 (0.01474) 0.712 MSCI 0.00967 (0.00175)** -0.01507 (0.04231) 0.28196 (0.06271)** -1.23181 (1.07186) -1.87101 (2.18921) -0.00719 (0.01388) 0.02086 (0.00694)** 0.01595 (0.01336) 0.494 0.00576 (0.00156)** 0.05202 (0.03437) 0.19147 (0.04250)** -0.40285 (0.74013) 0.09160 (1.14832) 0.00715 (0.00703) 0.02178 (0.00809)** 0.00813 (0.01497) 0.620