Information-ratio performance of fund-of-hedge-funds portfolio and tactical asset allocations : 1994-2006.

• Main Authors: Kwan, Winnie., Tok, Suling., Tok, Sumin.
• Other Authors: Kang, Joseph Choong Seok
• Format: Final Year Project
• Published: 2008
• Subjects: DRNTU::Business::Finance::Funds
• Online Access: http://hdl.handle.net/10356/10496
• Institution: Nanyang Technological University

Using style-level data, we analyze the return persistence and predictability in nine hedge fund styles and their fund-of-hedge-funds portfolios for the 1994-2006 period. For most (seven) hedge fund styles, the return persistence was detected while statistically significant return persistence for all...