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We apply a return-based classification approach on a sample of absolute return funds registered for sale in Europe. The … classification process results in eight groups with specific risk and return profiles. Each group can be characterized by two … estimated classification explains 20 per cent of the in-sample and 13 per cent of the out-of-sample cross-sectional return …
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Performance measurement is an area of crucial interest in asset valuation and investment management. High volatility as well as time aggregation of returns, amongst other characteristics, may distort the results of conventional measures of performance. In this work, we study the performance of...
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