Hedge Funds, Managerial Skill, and Macroeconomic Variables

• المؤلفون الرئيسيون: AVRAMOV, Doron, KOSOWSKI, Robert, NAIK, Narayan Y., TEO, Melvyn
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2011
• الموضوعات: hedge funds; predictability; managerial skills; macroeconomic variables; Finance and Financial Management; Portfolio and Security Analysis
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/bnp_research/13; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1008&context=bnp_research

Duplicate, see https://ink.library.smu.edu.sg/lkcsb_research/1867/. This paper evaluates hedge fund performance through portfolio strategies that incorporate predictability based on macroeconomic variables. Incorporating predictability substantially improves out-of-sample performance for the entire...