evidence of predictability in hedge fund returns and multi style class tactical allocation decisions noël amenc sina el bied lionel martellini april 2 2002 abstract while there has been a signi cant amount research on the tra ditional asset classes very little is known about emanating from alternative vehicles such as funds this paper attempts to ll gap by documenting using factor models for return nine indexes where factors are chosen measure many dimensions nancial risks market volatility credit liquidity we nd strong also that bene ts terms portfolios potentially large even more spectacular results obtained both an equity oriented portfolio mixing traditional investment xed income these do not seem be cantly ected presence reasonably high transaction costs with edhec graduate school business
