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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Main Author:	TEO, Melvyn
Format:	text
Language:	English
Published:	Institutional Knowledge at Singapore Management University 2009
Subjects:	Hedge funds investment strategies benchmarking Finance and Financial Management
Online Access:	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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Institution:	Singapore Management University
Language:	English

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spelling	sg-smu-ink.bnp_research-10342018-06-13T02:27:42Z Predicting Hedge Fund Performance with Style TEO, Melvyn 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. 2009-12-01T08:00:00Z text application/pdf https://ink.library.smu.edu.sg/bnp_research/31 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1034&context=bnp_research http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection BNP Paribas Hedge Fund Centre eng Institutional Knowledge at Singapore Management University Hedge funds investment strategies benchmarking Finance and Financial Management
institution	Singapore Management University
building	SMU Libraries
country	Singapore
collection	InK@SMU
language	English
topic	Hedge funds investment strategies benchmarking Finance and Financial Management
spellingShingle	Hedge funds investment strategies benchmarking Finance and Financial Management TEO, Melvyn Predicting Hedge Fund Performance with Style
description	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.
format	text
author	TEO, Melvyn
author_facet	TEO, Melvyn
author_sort	TEO, Melvyn
title	Predicting Hedge Fund Performance with Style
title_short	Predicting Hedge Fund Performance with Style
title_full	Predicting Hedge Fund Performance with Style
title_fullStr	Predicting Hedge Fund Performance with Style
title_full_unstemmed	Predicting Hedge Fund Performance with Style
title_sort	predicting hedge fund performance with style
publisher	Institutional Knowledge at Singapore Management University
publishDate	2009
url	https://ink.library.smu.edu.sg/bnp_research/31 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1034&context=bnp_research
_version_	1681132766485282816

Predicting Hedge Fund Performance with Style

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