Investing in Hedge Funds when Returns are Predictable

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 various subsets...

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Bibliographic Details
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
Time-Varying Managerial Skills
Asset Allocation
Finance and Financial Management
Portfolio and Security Analysis
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/1428
https://ink.library.smu.edu.sg/context/lkcsb_research/article/2427/viewcontent/InvestingHedgeFundPredictable_2007_EFA.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/lkcsb_research/1428
https://ink.library.smu.edu.sg/context/lkcsb_research/article/2427/viewcontent/InvestingHedgeFundPredictable_2007_EFA.pdf

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