Return persistence and predictability of fund of hedge fund and implications on tactical asset allocation 1994-2005

• Main Authors: Ang, Chin Hee, Chan, Zi Wei, Lim, Weizhong
• Other Authors: Kang, Joseph Choong Seok
• Format: Final Year Project
• Published: 2008
• Subjects: DRNTU::Business::Finance::Funds
• Online Access: http://hdl.handle.net/10356/10017
• Institution: Nanyang Technological University

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...