haku: @indexterm macroeconomics / yhteensä: 544
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| Tekijä: | Avramov, D. (et al.) |
| Otsikko: | Hedge funds, managerial skill, and macroeconomic variables |
| Lehti: | Journal of Financial Economics
2011 : MAR, VOL. 99:3 p.672-692 |
| Asiasana: | performance appraisal macroeconomics investments benchmarking profitability |
| Kieli: | eng |
| Tiivistelmä: | This paper assess hedge fund performance through portfolio strategies which incorporate predictability based on macroeconomic variables. Incorporating predictability substantially enhances out-of-sample performance for the entire universe of hedge funds as well as for various investment styles. While the paper also allows for predictability in fund risk loadings and benchmark returns, the major source of investment profitability is predictability in managerial skills. The economic value of predictability obtains for different rebalancing horizons and alternative benchmark models. |
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