This study tests a large sample of UK equity returns from 1965-2007 for predictability. Returns are tested using the Lo and MacKinlay (1988) variance ratio test and the Chow and Denning (1993) multiple variance ratio tests. Overall, the results show strong signs of predictability. There is a...

We show that fund-specific return skewness is associated with managerial skill and future hedge fund performance. Specifically, skewness in fund returns reflects managerial skill in avoiding large drawdowns. Using a new measure of investment skill that accounts for this managerial ability, we...

Recent academic and practitioner attention has focused on currency momentum. In this paper we replicate technical trading rules to assess their relationship with momentum. From an investment perspective, the average out-of-sample pre-transaction cost Sharpe ratio of technical trading rules is...

We show that earning non-hedge fund income is associated with lower future hedge fund performance. Specifically, generating non-hedge fund income reflects weakened alignment between the incentives of hedge fund management firm owners and the interests of investors. Using a hand-collected...

A great deal of research effort has sought to understand whether fund managers have skill. However, most of this research draws inferences from fund returns attributable to funds that may have been managed by many different managers over the years. In this paper we focus on the fund manager. We...