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@article{Avramov:2013:10.1017/S0022109013000422,
author = {Avramov, D and Barras, L and Kosowski, R},
doi = {10.1017/S0022109013000422},
journal = {Journal of Financial and Quantitative Analysis},
title = {Hedge fund predictability under the magnifying glass},
url = {http://dx.doi.org/10.1017/S0022109013000422},
volume = {n/a},
year = {2013}
}

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TY  - JOUR
AB  - This paper develops a unified approach to comprehensively analyze individual hedge fund return predictability, both in- and out-of-sample. In-sample, we find that variation in hedge fund performance across changing market conditions is widespread and economically significant. The predictability pattern is consistent with economic rationale, and largely reflects differences in key hedge fund characteristics, such as leverage or capacity constraints. Out-of-sample, we show that a simple strategy that combines the funds’ return forecasts obtained from individual predictors delivers superior performance. We exploit this simplicity to highlight the drivers of this performance, and find that in- and out-of-sample predictability are closely related.
AU  - Avramov,D
AU  - Barras,L
AU  - Kosowski,R
DO  - 10.1017/S0022109013000422
PY  - 2013///
SN  - 0022-1090
TI  - Hedge fund predictability under the magnifying glass
T2  - Journal of Financial and Quantitative Analysis
UR  - http://dx.doi.org/10.1017/S0022109013000422
VL  - n/a
ER  -

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