Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/10017
Title: Return persistence and predictability of fund of hedge fund and implications on tactical asset allocation 1994-2005
Authors: Ang, Chin Hee
Chan, Zi Wei
Lim, Weizhong
Keywords: DRNTU::Business::Finance::Funds
Issue Date: 2006
Abstract: Our applied research provides evidence on the return persistence and the information-ratio performance of nine hedge fund strategies as a fund of hedge fund for the period from 1994 to 2005. The return persistence is measured by Hurst fractal exponent, whereas style portfolios’ performance is evaluated in terms of forward-looking information ratios.
URI: http://hdl.handle.net/10356/10017
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Student Reports (FYP/IA/PA/PI)

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