Investing in Hedge Funds when Returns are Predictable
This paper evaluates hedge fund performance through portfolio strategies that incorporate predictability in managerial skills, fund risk loadings, and benchmark returns. Incorporating predictability substantially improves performance for the entire universe of hedge funds as well as for various inve...
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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2007
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/bnp_research/6 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1004&context=bnp_research |
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| Institution: | Singapore Management University |
| Language: | English |