Article ID Journal Published Year Pages File Type
5089782 Journal of Banking & Finance 2012 15 Pages PDF
Abstract
► This article predicts the relative performance of directional hedge fund styles. ► We apply time-varying conditional stochastic dominance tests. ► Our tests predict a superior performance of the Global Macro style. ► We also find out which factors have predictive power for the density of returns.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Forecasting the performance of hedge fund styles
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