FORECASTING HEDGE FUND STYLE RETURNS

This book examines the ability of multi-factor models to forecast the direction of nine CSFB/Tremont hedge fund index strategies. The forecast variables are chosen based on the results of previous academic research into hedge fund style analysis. The most successful forecast factors are highlighted in research papers on hedge fund style analysis by Liang (1998); Fung and Hsieh (1997); Agarwal and Naik (2000b) and Amanec et. al (2002). The models prove successful in all but two hedge fund strategies which allows for the successful implementation of a tactical style allocation strategy.