This article analyzes the effect of liquidity risk on the performance of various hedge fund portfolio strategies. Similarly to Avramov et al. (2007), we find that, before accounting for the effect of liquidity risk, hedge fund portfolios that incorporate predictability in managerial skills...

We study the out-of-sample predictability of the returns of pan-European harmonized mutual funds that apply hedge fund-like investment strategies (“Alternative UCITS”). Given these funds' higher liquidity, investors could exploit relevant information much easier than for hedge funds, and use...

While the majority of the predictability literature has been devoted to the predictability of traditional asset classes, the literature on the predictability of hedge fund returns is quite scanty. We focus on assessing the out-of-sample predictability of hedge fund strategies by employing an...