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This paper produces multiple fund-of-funds’ portfolios based on sorting and a novel non-parametric approach to lend in-depth insights into the extent hedge fund returns display higher order (non-linear) persistence patterns. By exploiting monthly data from Hedge Fund Research Database between...
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by hedge fund managers. Three quarters of hedge funds shifted their investment styles at least once over the period from …-looking. Instead, we show evidence that managers of style-shifting funds exhibit both style-timing ability and the skill of generating …
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