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

Our applied research reexamines both the return persistence in nine style investing and the active return performance of style portfolios for the sample period from 1994 to 2004. Performance is evaluated in terms of forward-looking information ratios. The active returns and tracking errors are base...

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書目詳細資料
Main Authors: Chua, Janice Hui Li., Lee, Michelle Choon Ho., Leong, Elisa Mun Yee.
其他作者: Kang, Joseph Choong Seok
格式: Final Year Project
出版: 2008
主題:
在線閱讀:http://hdl.handle.net/10356/9918
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機構: Nanyang Technological University
實物特徵
總結:Our applied research reexamines both the return persistence in nine style investing and the active return performance of style portfolios for the sample period from 1994 to 2004. Performance is evaluated in terms of forward-looking information ratios. The active returns and tracking errors are based on returns projected from nine multi-factor projection models.