Return persistence and predictability of fund of hedge fund and implications on tactical asset allocation 1994-2005
Ang, Chin Hee
Chan, Zi Wei
Date of Issue2006
College of Business (Nanyang Business School)
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.
Final Year Project (FYP)
Nanyang Technological University