Hedge Funds, Managerial Skill, and Macroeconomic Variables

Hedge Funds, Managerial Skill, and Macroeconomic Variables

This paper evaluates hedge fund performance through portfolio strategies that incorporate predictability based on macroeconomic variables. Incorporating predictability substantially improves out-of-sample performance for the entire universe of hedge funds as well as for various investment styles. Wh...

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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 2011
Subjects:
Hedge funds
Predictability
Managerial skills
Macroeconomic variables
Finance and Financial Management
Portfolio and Security Analysis
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/1867
https://ink.library.smu.edu.sg/context/lkcsb_research/article/2866/viewcontent/Hedge_Funds_Managerial_Skill_and_Macroeconomic_Variables.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/lkcsb_research/1867
https://ink.library.smu.edu.sg/context/lkcsb_research/article/2866/viewcontent/Hedge_Funds_Managerial_Skill_and_Macroeconomic_Variables.pdf

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