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• W2012302954 startingPage "4404" @default.
• W2012302954 abstract "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." @default.
• W2012302954 created "2016-06-24" @default.
• W2012302954 creator A5085614878 @default.
• W2012302954 date "2013-11-01" @default.
• W2012302954 modified "2023-09-27" @default.
• W2012302954 title "Short-term hedge fund performance" @default.
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• W2012302954 doi "https://doi.org/10.1016/j.jbankfin.2013.07.034" @default.
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