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
Hauptverfasser:	Avramov, Doron, Kosowski, Robert, Naik, Narayan Y., Teo, Melvyn
Format:	Artikel
Sprache:	eng
Schlagworte:	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
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