Hedge fund style investing : return persistence and information-ratio performance 1994-2004.
Our applied research provides new evidence on the return persistence and the information-ratio performance of nine hedge fund strategies for the period from 1994 to 2004. The return persistence is measured by Hurst fractal exponent, whereas style portfolios’ performance is evaluated in terms of forw...
| Main Authors: | , , |
|---|---|
| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Published: |
2008
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/9853 |
| _version_ | 1826123798310551552 |
|---|---|
| author | Huang, Alys Meiting. Kwan, Pui Wai. Wong, Ke Ren. |
| author2 | Kang, Joseph Choong Seok |
| author_facet | Kang, Joseph Choong Seok Huang, Alys Meiting. Kwan, Pui Wai. Wong, Ke Ren. |
| author_sort | Huang, Alys Meiting. |
| collection | NTU |
| description | Our applied research provides new evidence on the return persistence and the information-ratio performance of nine hedge fund strategies for the period from 1994 to 2004. The return persistence is measured by Hurst fractal exponent, whereas style portfolios’ performance is evaluated in terms of forward-looking information ratios. |
| first_indexed | 2024-10-01T06:10:32Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/9853 |
| institution | Nanyang Technological University |
| last_indexed | 2024-10-01T06:10:32Z |
| publishDate | 2008 |
| record_format | dspace |
| spelling | ntu-10356/98532023-05-19T05:41:36Z Hedge fund style investing : return persistence and information-ratio performance 1994-2004. Huang, Alys Meiting. Kwan, Pui Wai. Wong, Ke Ren. Kang, Joseph Choong Seok Nanyang Business School DRNTU::Business::Finance::Funds Our applied research provides new evidence on the return persistence and the information-ratio performance of nine hedge fund strategies for the period from 1994 to 2004. The return persistence is measured by Hurst fractal exponent, whereas style portfolios’ performance is evaluated in terms of forward-looking information ratios. 2008-09-24T07:37:05Z 2008-09-24T07:37:05Z 2005 2005 Final Year Project (FYP) http://hdl.handle.net/10356/9853 Nanyang Technological University application/pdf |
| spellingShingle | DRNTU::Business::Finance::Funds Huang, Alys Meiting. Kwan, Pui Wai. Wong, Ke Ren. Hedge fund style investing : return persistence and information-ratio performance 1994-2004. |
| title | Hedge fund style investing : return persistence and information-ratio performance 1994-2004. |
| title_full | Hedge fund style investing : return persistence and information-ratio performance 1994-2004. |
| title_fullStr | Hedge fund style investing : return persistence and information-ratio performance 1994-2004. |
| title_full_unstemmed | Hedge fund style investing : return persistence and information-ratio performance 1994-2004. |
| title_short | Hedge fund style investing : return persistence and information-ratio performance 1994-2004. |
| title_sort | hedge fund style investing return persistence and information ratio performance 1994 2004 |
| topic | DRNTU::Business::Finance::Funds |
| url | http://hdl.handle.net/10356/9853 |
| work_keys_str_mv | AT huangalysmeiting hedgefundstyleinvestingreturnpersistenceandinformationratioperformance19942004 AT kwanpuiwai hedgefundstyleinvestingreturnpersistenceandinformationratioperformance19942004 AT wongkeren hedgefundstyleinvestingreturnpersistenceandinformationratioperformance19942004 |