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Predictability in hedge fund returns

delete2019-01-02
delete56
PRE
AI
N
Noël Amenc *
S
Sina El Bied
L
Lionel Martellini
DOI：10.2469/faj.v59.n5.2562delete
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Abstract

Abstract

En 中文
A significant amount of research has been devoted to the predictability of traditional asset classes, but little is known about the predictability of returns emanating from alternative vehicles, such as hedge funds. We attempt to fill this gap by documenting evidence of predictability in hedge fund returns. Using multifactor models for the return on nine hedge fund indexes,for which the factors were chosen to measure the many dimensions of financial risk, we found strong evidence of significant predictability in hedge fund returns. We also found that the benefits of tactical style allocation portfolios are potentially large.. We obtained even more spectacular results for an equity-oriented portfolio that mixed traditional and alternative investment vehicles and for a debt-oriented portfolio that mixed traditional and alternative investment vehicles. These results do not seem to have been significantly affected by the presence of reasonably high transaction costs.
Keywords:
LIFETIME PORTFOLIO SELECTION
TRANSACTIONS COSTS
ASSET-ALLOCATION
STOCK RETURNS
MODEL
RISK
CONSUMPTION
MARKETS
CHOICE
REPLICATION
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Key information extracted from the uploaded paper, including a brief overview, abstract, background, key highlights, visual analysis, and future outlook.

Journal

F
Financial Analysts Journal
IF:
2.2
Papers:
1.2K
Citations:
3.1K

Organization

No organization information available