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Forecasting the performance of hedge fund styles

Olmo, Jose; Sanso-Navarro, Marcos - In: Journal of banking & finance 36 (2012) 8, pp. 2351-2365

Persistent link: https://ebvufind01.dmz1.zbw.eu/10009656253

Forecasting the Performance of Hedge Fund Styles

Olmo, Jose; Sanso-Navarro, Marcos - 2012

This article predicts the relative performance of hedge fund investment styles one period ahead using time-varying conditional stochastic dominance tests. These tests allow the construction of dynamic trading strategies based on nonparametric density forecasts of hedge fund returns. During the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014177342

Robust tests for change in intercept and slope in linear regression models with application to manager performance in the mutual fund industry

Pouliot, William - In: Economic modelling 58 (2016), pp. 523-534

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011647526

A reappraisal of luck versus skill in the cross-section of mutual fund returns

Huang, Rong; Asteriou, Dimitrios; Pouliot, William - In: Journal of economic behavior & organization : JEBO 176 (2020), pp. 166-187

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012431397

Do actively managed US mutual funds produce positive alpha?

Huang, Rong; Pilbeam, Keith; Pouliot, William - In: Journal of economic behavior & organization : JEBO 182 (2021), pp. 472-492

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012598403

Luck versus skill over time : time-varying performance in the cross-section of mutual fund returns

Ercolani, Marco G.; Pouliot, William; Ercolani, Joanne S. - In: Applied economics 50 (2018) 34/35, pp. 3686-3701

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012059401