IDEAS home Printed from https://ideas.repec.org/p/sek/iacpro/3105383.html
   My bibliography  Save this paper

Hedge fund predictability and optimal asset allocation

Author

Listed:
  • Ekaterini Panopoulou

    (University of Kent)

  • Theologos Pantelidis

    (University of Macedonia)

  • Spyridon Vrontos

    (University of Essex)

Abstract

The degree of both return and volatility hedge fund predictability is revealed using a regime switching framework. Optimal combinations of regime switching model forecasts allow us to capture the stylized facts of hedge fund returns and construct superior hedge fund return forecasts in the presence of parameter instability and model uncertainty. Our dataset consists of individual hedge fund data from the Barclays hedge fund database for the period January 1994 to December 2013. Our extensive set of predictors contains the Fung and Hsieh factors, factors related to style investing and to investment policies, macro related / business indicators variables and market-oriented factors. The economic value of the proposed predictability models is investigated by studying its effects on asset allocation and active portfolio management.

Suggested Citation

  • Ekaterini Panopoulou & Theologos Pantelidis & Spyridon Vrontos, 2015. "Hedge fund predictability and optimal asset allocation," Proceedings of International Academic Conferences 3105383, International Institute of Social and Economic Sciences.
    • Handle: RePEc:sek:iacpro:3105383
    as

    Download full text from publisher

    File URL: https://iises.net/proceedings/20th-international-academic-conference-madrid/table-of-content/detail?cid=31&iid=073&rid=5383
    File Function: First version, 2015
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Hedge fund predictability; regime switching model; asset allocation;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sek:iacpro:3105383. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Klara Cermakova (email available below). General contact details of provider: https://iises.net/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.