RT Journal Article SR Electronic T1 Further Evidence on Hedge Fund Return Predictability JF The Journal of Wealth Management FD Institutional Investor Journals SP 68 OP 79 DO 10.3905/jwm.2006.661434 VO 9 IS 3 A1 Olfa Hamza A1 Maher Kooli A1 Mathieu Roberge YR 2006 UL https://pm-research.com/content/9/3/68.abstract AB In this article, the authors provide new evidence of the out-of-sample predictability of hedge fund returns. They first adopt a rigorous model-construction process to find the best predictive variables for each hedge fund style. They then examine whether the perceived predictability could translate into profitable “tactical style” allocation strategies. Nine out ten hedge funds strategies outperform the passive benchmark. For robustness, they test the performance of optimized strategies and confirm the profitability of tactical style allocation based on the prediction of our multifactor models.TOPICS: Real assets/alternative investments/private equity, statistical methods, portfolio construction, performance measurement