Hedge fund investing : return persistence of style investing and style portfolio performance 1994-2004.
Chua, Janice Hui Li.
Lee, Michelle Choon Ho.
Leong, Elisa Mun Yee.
Date of Issue2005
College of Business (Nanyang Business School)
Our applied research reexamines both the return persistence in nine style investing and the active return performance of style portfolios for the sample period from 1994 to 2004. Performance is evaluated in terms of forward-looking information ratios. The active returns and tracking errors are based on returns projected from nine multi-factor projection models.
Final Year Project (FYP)
Nanyang Technological University