Abstract

http://ssrn.com/abstract=2028706
 
 

Citations



 


 



Hedge Fund Return Predictability Under the Magnifying Glass


Doron Avramov


Hebrew University of Jerusalem

Laurent Barras


McGill University - Desautels Faculty of Management

Robert Kosowski


Imperial College Business School; University of Oxford, Oxford-Man Institute of Quantitative Finance

March 25, 2012

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming

Abstract:     
This paper develops a unified approach to comprehensively analyse 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.

Keywords: Hedge Fund Performance, Return Predictability, Combination Forecasts

JEL Classification: G11, G23, C12

Accepted Paper Series





Not Available For Download

Date posted: March 26, 2012  

Suggested Citation

Avramov, Doron and Barras, Laurent and Kosowski, Robert, Hedge Fund Return Predictability Under the Magnifying Glass (March 25, 2012). Journal of Financial and Quantitative Analysis (JFQA), Forthcoming. Available at SSRN: http://ssrn.com/abstract=2028706

Contact Information

Doron Avramov
Hebrew University of Jerusalem ( email )
Mount Scopus
Jerusalem, IL 91905
Israel
HOME PAGE: http://pluto.huji.ac.il/~davramov/
Laurent Barras (Contact Author)
McGill University - Desautels Faculty of Management ( email )
1001 Sherbrooke St. West
Montreal, Quebec H3A1G5 H3A 2M1
Canada
+15143988862 (Phone)
Robert Kosowski
Imperial College Business School ( email )
South Kensington Campus
Exhibition Road
London SW7 2AZ, DC SW7 2AZ
United Kingdom
+442075943294 (Phone)
HOME PAGE: http://www3.imperial.ac.uk/people/r.kosowski
University of Oxford, Oxford-Man Institute of Quantitative Finance ( email )
Eagle House
Walton Well Road
Oxford, Oxfordshire OX2 6ED
United Kingdom
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