Predicting Hedge Fund Performance with Style
I apply the endogenous benchmark approach to the study of hedge funds. I find that including an investment style benchmark significantly reduces within style correlations in hedge fund residuals. Also, the performance spread between high past alpha t-statistic (a risk-adjusted information ratio) fun...
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2009
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| 在線閱讀: | https://ink.library.smu.edu.sg/bnp_research/31 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1034&context=bnp_research |
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| 機構: | Singapore Management University |
| 語言: | English |
| 總結: | I apply the endogenous benchmark approach to the study of hedge funds. I find that including an investment style benchmark significantly reduces within style correlations in hedge fund residuals. Also, the performance spread between high past alpha t-statistic (a risk-adjusted information ratio) funds and low past alpha t-statistic funds increases dramatically when performance is measured relative to fund investment style. There appears to be valuable information in investment style performance that can aid in fund selection. |
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