Hedge funds, managerial skill, and macroeconomic variables

• 成果类型: Article
• 署名作者: Avramov, Doron; Kosowski, Robert; Naik, Narayan Y.; Teo, Melvyn
• 署名单位: University of London; London Business School; Hebrew University of Jerusalem; University System of Maryland; University of Maryland College Park; Imperial College London; Singapore Management University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2010.10.003
• 发表日期: 2011
• 页码: 672-692
• 关键词: HEDGE FUNDS; predictability; Managerial skills; Macroeconomic variables

摘要

This paper evaluates hedge fund performance through portfolio strategies that incorporate predictability based on macroeconomic variables. Incorporating predictability substantially improves out-of-sample performance for the entire universe of hedge funds as well as for various investment styles. While we also allow for predictability in fund risk loadings and benchmark returns, the major source of investment profitability is predictability in managerial skills. In particular, long-only strategies that incorporate predictability in managerial skills outperform their Fung and Hsieh (2004) benchmarks by over 17% per year. The economic value of predictability obtains for different rebalancing horizons and alternative benchmark models. It is also robust to adjustments for backfill bias, incubation bias, illiquidity, fund termination, and style composition. (C) 2010 Elsevier B.V. All rights reserved.