Investing in Hedge Funds when Returns are Predictable

• Main Authors: AVRAMOV, Doron, KOSOWSKI, Robert, NAIK, Narayan Y., TEO, Melvyn
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2007
• 主題: Hedge Funds; Time-Varying Managerial Skills; Asset Allocation; Finance and Financial Management; Portfolio and Security Analysis
• 在線閱讀: 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

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...