Return persistence and predictability of fund of hedge fund and implications on tactical asset allocation 1994-2005
Our applied research provides evidence on the return persistence and the information-ratio performance of nine hedge fund strategies as a fund of hedge fund for the period from 1994 to 2005. The return persistence is measured by Hurst fractal exponent, whereas style portfolios’ performance is evalua...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Published: |
2008
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/10017 |
| _version_ | 1826125534970511360 |
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| author | Ang, Chin Hee Chan, Zi Wei Lim, Weizhong |
| author2 | Kang, Joseph Choong Seok |
| author_facet | Kang, Joseph Choong Seok Ang, Chin Hee Chan, Zi Wei Lim, Weizhong |
| author_sort | Ang, Chin Hee |
| collection | NTU |
| description | Our applied research provides evidence on the return persistence and the information-ratio performance of nine hedge fund strategies as a fund of hedge fund for the period from 1994 to 2005. The return persistence is measured by Hurst fractal exponent, whereas style portfolios’ performance is evaluated in terms of forward-looking information ratios. |
| first_indexed | 2024-10-01T06:37:54Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/10017 |
| institution | Nanyang Technological University |
| last_indexed | 2024-10-01T06:37:54Z |
| publishDate | 2008 |
| record_format | dspace |
| spelling | ntu-10356/100172023-05-19T06:09:03Z Return persistence and predictability of fund of hedge fund and implications on tactical asset allocation 1994-2005 Ang, Chin Hee Chan, Zi Wei Lim, Weizhong Kang, Joseph Choong Seok Nanyang Business School DRNTU::Business::Finance::Funds Our applied research provides evidence on the return persistence and the information-ratio performance of nine hedge fund strategies as a fund of hedge fund for the period from 1994 to 2005. The return persistence is measured by Hurst fractal exponent, whereas style portfolios’ performance is evaluated in terms of forward-looking information ratios. 2008-09-24T07:38:52Z 2008-09-24T07:38:52Z 2006 2006 Final Year Project (FYP) http://hdl.handle.net/10356/10017 Nanyang Technological University application/pdf |
| spellingShingle | DRNTU::Business::Finance::Funds Ang, Chin Hee Chan, Zi Wei Lim, Weizhong Return persistence and predictability of fund of hedge fund and implications on tactical asset allocation 1994-2005 |
| title | Return persistence and predictability of fund of hedge fund and implications on tactical asset allocation 1994-2005 |
| title_full | Return persistence and predictability of fund of hedge fund and implications on tactical asset allocation 1994-2005 |
| title_fullStr | Return persistence and predictability of fund of hedge fund and implications on tactical asset allocation 1994-2005 |
| title_full_unstemmed | Return persistence and predictability of fund of hedge fund and implications on tactical asset allocation 1994-2005 |
| title_short | Return persistence and predictability of fund of hedge fund and implications on tactical asset allocation 1994-2005 |
| title_sort | return persistence and predictability of fund of hedge fund and implications on tactical asset allocation 1994 2005 |
| topic | DRNTU::Business::Finance::Funds |
| url | http://hdl.handle.net/10356/10017 |
| work_keys_str_mv | AT angchinhee returnpersistenceandpredictabilityoffundofhedgefundandimplicationsontacticalassetallocation19942005 AT chanziwei returnpersistenceandpredictabilityoffundofhedgefundandimplicationsontacticalassetallocation19942005 AT limweizhong returnpersistenceandpredictabilityoffundofhedgefundandimplicationsontacticalassetallocation19942005 |