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- Title
Further Evidence on Hedge Fund Return Predictability.
- Authors
Hamza, Olfa; Kooli, Maher; Roberge, Mathieu
- Abstract
In this article, the authors provide new evidence of the out-of-sample predictability, of hedge fired returns. They first adopt a rigorous model-construction process to find the best predictive variables for each hedge fired style. They then examine whether the perceived predictability could translate into profitable "tactical style" allocation strategies. Nine out ten hedge funds strategies outperform the passive benchmark. For robustness, they test the performance of optimized strategies and confirm the profitability of tactical style allocation based on the prediction of our multifactor models.
- Subjects
HEDGING (Finance); HEDGE funds; OPTIONS (Finance); SPECULATION; MUTUAL funds
- Publication
Journal of Wealth Management, 2006, Vol 9, Issue 3, p68
- ISSN
1534-7524
- Publication type
Article
- DOI
10.3905/jwm.2006.661434