Investing in Hedge Funds when Returns are Predictable

• Main Authors: AVRAMOV, Doron, KOSOWSKI, Robert, NAIK, Narayan Y., TEO, Melvyn
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2007
• Subjects: Hedge Funds; Predictability; Managerial Skills; Asset Allocation; Finance and Financial Management
• 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
• Institution: Singapore Management University

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...