Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/9898
Title: Hedge fund investing : index return persistence and style portfolio performance 1994-2004.
Authors: Wong, Pei Ling.
Yeo, Swee Hock.
Yap, Li Shan.
Keywords: DRNTU::Business::Finance::Funds
Issue Date: 2005
Abstract: Our applied research reexamines the index return persistence and the active return performance of hedge fund style portfolios for the period from 1994 to 2004. The monthly return persistence in nine hedge fund indices is measured by Hurst Fractal exponent, and the style portfolio’s monthly performance is evaluated in terms of information ratio.
URI: http://hdl.handle.net/10356/9898
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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