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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| Veröffentlicht in: | Journal of financial economics 2011-03, Vol.99 (3), p.672-692 |
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| container_end_page | 692 |
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| container_issue | 3 |
| container_start_page | 672 |
| container_title | Journal of financial economics |
| container_volume | 99 |
| creator | Avramov, Doron Kosowski, Robert Naik, Narayan Y. Teo, Melvyn |
| description | 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. While we also allow for predictability in fund risk loadings and benchmark returns, the major source of investment profitability is predictability in managerial skills. In particular, long-only strategies that incorporate predictability in managerial skills outperform their
Fung and Hsieh (2004) benchmarks by over 17% per year. The economic value of predictability obtains for different rebalancing horizons and alternative benchmark models. It is also robust to adjustments for backfill bias, incubation bias, illiquidity, fund termination, and style composition. |
| doi_str_mv | 10.1016/j.jfineco.2010.10.003 |
| format | Article |
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| ispartof | Journal of financial economics, 2011-03, Vol.99 (3), p.672-692 |
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| language | eng |
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| source | RePEc; Access via ScienceDirect (Elsevier) |
| subjects | Finance Hedge funds Hedge funds Predictability Managerial skills Macroeconomic variables Hedging Investment Investment policy Liquidity Macroeconomic variables Macroeconomics Managerial skills Portfolio performance Predictability Profitability Risk Risk management Studies |
| title | Hedge funds, managerial skill, and macroeconomic variables |
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