Hedge Fund Return Predictability Under the Magnifying Glass
提出统一框架，全面分析对冲基金收益的可预测性。样本内发现基金业绩随市场条件变化显著，且与杠杆等特征相关；样本外结合多个预测因子的简单策略表现优异，且样本内外可预测性紧密相关。
Abstract This paper develops a unified approach to comprehensively analyze individual hedge fund return predictability, both in and out of sample. In sample, we find that variation in hedge fund performance across changing market conditions is widespread and economically significant. The predictability pattern is consistent with economic rationale, and largely reflects differences in key hedge fund characteristics, such as leverage or capacity constraints. Out of sample, we show that a simple strategy that combines the funds’ return forecasts obtained from individual predictors delivers superior performance. We exploit this simplicity to highlight the drivers of this performance, and find that in- and out-of-sample predictability are closely related.