Hedge fund investing : index return persistence and style portfolio performance 1994-2004.

Our applied research reexamines the index return persistence and the active return performance of hedge fund style portfolios for the period from 1994 to 2004. The monthly return persistence in nine hedge fund indices is measured by Hurst Fractal exponent, and the style portfolio’s monthly performan...

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Bibliographic Details
Main Authors:	Wong, Pei Ling., Yeo, Swee Hock., Yap, Li Shan.
Other Authors:	Kang, Joseph Choong Seok
Format:	Final Year Project
Published:	2008
Subjects:	DRNTU::Business::Finance::Funds
Online Access:	http://hdl.handle.net/10356/9898
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Institution:	Nanyang Technological University

id	sg-ntu-dr.10356-9898
record_format	dspace
spelling	sg-ntu-dr.10356-98982023-05-19T03:05:17Z Hedge fund investing : index return persistence and style portfolio performance 1994-2004. Wong, Pei Ling. Yeo, Swee Hock. Yap, Li Shan. Kang, Joseph Choong Seok Nanyang Business School DRNTU::Business::Finance::Funds Our applied research reexamines the index return persistence and the active return performance of hedge fund style portfolios for the period from 1994 to 2004. The monthly return persistence in nine hedge fund indices is measured by Hurst Fractal exponent, and the style portfolio’s monthly performance is evaluated in terms of information ratio. 2008-09-24T07:37:35Z 2008-09-24T07:37:35Z 2005 2005 Final Year Project (FYP) http://hdl.handle.net/10356/9898 Nanyang Technological University application/pdf
institution	Nanyang Technological University
building	NTU Library
continent	Asia
country	Singapore Singapore
content_provider	NTU Library
collection	DR-NTU
topic	DRNTU::Business::Finance::Funds
spellingShingle	DRNTU::Business::Finance::Funds Wong, Pei Ling. Yeo, Swee Hock. Yap, Li Shan. Hedge fund investing : index return persistence and style portfolio performance 1994-2004.
description	Our applied research reexamines the index return persistence and the active return performance of hedge fund style portfolios for the period from 1994 to 2004. The monthly return persistence in nine hedge fund indices is measured by Hurst Fractal exponent, and the style portfolio’s monthly performance is evaluated in terms of information ratio.
author2	Kang, Joseph Choong Seok
author_facet	Kang, Joseph Choong Seok Wong, Pei Ling. Yeo, Swee Hock. Yap, Li Shan.
format	Final Year Project
author	Wong, Pei Ling. Yeo, Swee Hock. Yap, Li Shan.
author_sort	Wong, Pei Ling.
title	Hedge fund investing : index return persistence and style portfolio performance 1994-2004.
title_short	Hedge fund investing : index return persistence and style portfolio performance 1994-2004.
title_full	Hedge fund investing : index return persistence and style portfolio performance 1994-2004.
title_fullStr	Hedge fund investing : index return persistence and style portfolio performance 1994-2004.
title_full_unstemmed	Hedge fund investing : index return persistence and style portfolio performance 1994-2004.
title_sort	hedge fund investing : index return persistence and style portfolio performance 1994-2004.
publishDate	2008
url	http://hdl.handle.net/10356/9898
_version_	1770565853685743616

Hedge fund investing : index return persistence and style portfolio performance 1994-2004.

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