Investing in Hedge Funds when Returns are Predictable

• المؤلفون الرئيسيون: AVRAMOV, Doron, KOSOWSKI, Robert, NAIK, Narayan Y., TEO, Melvyn
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2007
• الموضوعات: Hedge Funds; Time-Varying Managerial Skills; Asset Allocation; Finance and Financial Management; Portfolio and Security Analysis
• الوصول للمادة أونلاين: 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
• المؤسسة: Singapore Management University

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...