Short-term hedge fund performance

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Hedge fund returns are often explained using linear factor models such as Fung and Hsieh (2004). However, since most hedge funds live only for 3 years, these linear regressions are subject to over-parameterization. I improve the out-of-sample accuracy of the linear factor model by combining cross-sectional and time series information for groups of hedge funds with similar investment strategies. The additional cross-sectional information allows more accurate estimates of risk exposures. I also propose a trading strategy based on this methodology for extracting substantially larger risk-adjusted returns.

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ISO 690SLAVUTSKAYA, Anna, 2013. Short-term hedge fund performance. In: Journal of Banking & Finance. 2013, 37(11), pp. 4404-4431. ISSN 0378-4266. eISSN 1872-6372. Available under: doi: 10.1016/j.jbankfin.2013.07.034
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@article{Slavutskaya2013-11Short-41827,
  year={2013},
  doi={10.1016/j.jbankfin.2013.07.034},
  title={Short-term hedge fund performance},
  number={11},
  volume={37},
  issn={0378-4266},
  journal={Journal of Banking & Finance},
  pages={4404--4431},
  author={Slavutskaya, Anna}
}
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