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Further Evidence on Hedge Fund Return Predictability

Olfa Hamza, Maher Kooli and Mathieu Roberge
The Journal of Wealth Management Winter 2006, 9 (3) 68-79; DOI: https://doi.org/10.3905/jwm.2006.661434
Olfa Hamza
A research advisor at Investment Policy Research, La Caisse de dépôt et placement du Québec in Montreal, Canada.
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  • For correspondence: ohamza@lacaisse.com
Maher Kooli
A professor of finance in the School of Business and Management at the University of Québec in Montreal, Canada.
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  • For correspondence: kooli.maher@uqam.ca
Mathieu Roberge
A research advisor at Investment Policy Research, La Caisse de dépôt et placement du Québec in Montreal, Canada.
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  • For correspondence: mroberge@lacaisse.com
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Abstract

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

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Further Evidence on Hedge Fund Return Predictability
Olfa Hamza, Maher Kooli, Mathieu Roberge
The Journal of Wealth Management Oct 2006, 9 (3) 68-79; DOI: 10.3905/jwm.2006.661434

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Further Evidence on Hedge Fund Return Predictability
Olfa Hamza, Maher Kooli, Mathieu Roberge
The Journal of Wealth Management Oct 2006, 9 (3) 68-79; DOI: 10.3905/jwm.2006.661434
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