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...

This paper develops a unified approach to comprehensively analyse 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...

This paper determines the economic gains from predicting the returns of multiple assets. I set up a scenario where active investors receive timing or selectivity signals, and compute the economic gains they generate. The results reveal that investors with selectivity skills take more aggressive...