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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2008
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| Online Access: | http://hdl.handle.net/10356/10017 |
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sg-ntu-dr.10356-100172023-05-19T06:09:03Z Return persistence and predictability of fund of hedge fund and implications on tactical asset allocation 1994-2005 Ang, Chin Hee Chan, Zi Wei Lim, Weizhong Kang, Joseph Choong Seok Nanyang Business School DRNTU::Business::Finance::Funds 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. 2008-09-24T07:38:52Z 2008-09-24T07:38:52Z 2006 2006 Final Year Project (FYP) http://hdl.handle.net/10356/10017 Nanyang Technological University application/pdf |
| institution |
Nanyang Technological University |
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NTU Library |
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Asia |
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Singapore Singapore |
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DRNTU::Business::Finance::Funds |
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DRNTU::Business::Finance::Funds Ang, Chin Hee Chan, Zi Wei Lim, Weizhong Return persistence and predictability of fund of hedge fund and implications on tactical asset allocation 1994-2005 |
| description |
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. |
| author2 |
Kang, Joseph Choong Seok |
| author_facet |
Kang, Joseph Choong Seok Ang, Chin Hee Chan, Zi Wei Lim, Weizhong |
| format |
Final Year Project |
| author |
Ang, Chin Hee Chan, Zi Wei Lim, Weizhong |
| author_sort |
Ang, Chin Hee |
| title |
Return persistence and predictability of fund of hedge fund and implications on tactical asset allocation 1994-2005 |
| title_short |
Return persistence and predictability of fund of hedge fund and implications on tactical asset allocation 1994-2005 |
| title_full |
Return persistence and predictability of fund of hedge fund and implications on tactical asset allocation 1994-2005 |
| title_fullStr |
Return persistence and predictability of fund of hedge fund and implications on tactical asset allocation 1994-2005 |
| title_full_unstemmed |
Return persistence and predictability of fund of hedge fund and implications on tactical asset allocation 1994-2005 |
| title_sort |
return persistence and predictability of fund of hedge fund and implications on tactical asset allocation 1994-2005 |
| publishDate |
2008 |
| url |
http://hdl.handle.net/10356/10017 |
| _version_ |
1770566133544386560 |