Return persistence and predictability of fund of hedge fund and implications on tactical asset allocation 1994-2005
Our applied research provides evidence on the return persistence and the information-ratio performance of nine hedge fund strategies as a fund of hedge fund for the period from 1994 to 2005. The return persistence is measured by Hurst fractal exponent, whereas style portfolios’ performance is evalua...
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| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project |
| Published: |
2008
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/10017 |
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| Institution: | Nanyang Technological University |
| Summary: | Our applied research provides evidence on the return persistence and the information-ratio performance of nine hedge fund strategies as a fund of hedge fund for the period from 1994 to 2005. The return persistence is measured by Hurst fractal exponent, whereas style portfolios’ performance is evaluated in terms of forward-looking information ratios. |
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