scholarly journals Hedge Fund Return Predictability in the Presence of Model Risk

2019 ◽  
Author(s):  
Christos Argyropoulos ◽  
Ekaterini Panopoulou ◽  
Nikolaos Voukelatos ◽  
Teng Zheng
Keyword(s):  
Hedge Fund ◽  
Return Predictability ◽  
Model Risk ◽  
Fund Return

scholarly journals Hedge fund return predictability in the presence of model risk*

2022 ◽  
pp. 1-25
Author(s):  
Christos Argyropoulos ◽  
Ekaterini Panopoulou ◽  
Nikolaos Voukelatos ◽  
Teng Zheng
Keyword(s):  
Hedge Fund ◽  
Return Predictability ◽  
Model Risk ◽  
Fund Return

Hedge Fund Return Predictability Under the Magnifying Glass

2012 ◽  
Author(s):  
Doron Avramov ◽  
Laurent Barras ◽  
Robert Kosowski
Keyword(s):  
Hedge Fund ◽  
Return Predictability ◽  
Fund Return

Further Evidence on Hedge Fund Return Predictability

2006 ◽  
Vol 9 (3) ◽  
pp. 68-79 ◽  
Author(s):  
Olfa Hamza ◽  
Maher Kooli ◽  
Mathieu Roberge
Keyword(s):  
Hedge Fund ◽  
Return Predictability ◽  
Fund Return

Further Evidence on Hedge Fund Return Predictability

CFA Digest ◽  
2007 ◽  
Vol 37 (2) ◽  
pp. 5-7
Author(s):  
Kathryn Dixon Jost
Keyword(s):  
Hedge Fund ◽  
Return Predictability ◽  
Fund Return

Hedge Fund Return Predictability Under the Magnifying Glass

2013 ◽  
Vol 48 (4) ◽  
pp. 1057-1083 ◽  
Author(s):  
Doron Avramov ◽  
Laurent Barras ◽  
Robert Kosowski
Keyword(s):  
Hedge Fund ◽  
Fund Performance ◽  
Return Predictability ◽  
Superior Performance ◽  
Unified Approach ◽  
Simple Strategy ◽  
Economic Rationale ◽  
Out Of Sample ◽  
Hedge Fund Performance ◽  
Fund Return

AbstractThis paper develops a unified approach to comprehensively analyze individual hedge fund return predictability, both in and out of sample. In sample, we find that variation in hedge fund performance across changing market conditions is widespread and economically significant. The predictability pattern is consistent with economic rationale, and largely reflects differences in key hedge fund characteristics, such as leverage or capacity constraints. Out of sample, we show that a simple strategy that combines the funds’ return forecasts obtained from individual predictors delivers superior performance. We exploit this simplicity to highlight the drivers of this performance, and find that in- and out-of-sample predictability are closely related.

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