PT  - JOURNAL ARTICLE
AU  - Olfa Hamza
AU  - Maher Kooli
AU  - Mathieu Roberge
TI  - Further Evidence on Hedge Fund Return Predictability
AID  - 10.3905/jwm.2006.661434
DP  - 2006 Oct 31
TA  - The Journal of Wealth Management
PG  - 68--79
VI  - 9
IP  - 3
4099  - https://pm-research.com/content/9/3/68.short
4100  - https://pm-research.com/content/9/3/68.full
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