Joint Seminar of Accounting and Finance Department and Center for Scientific Computing and Data Science Research
When: Friday,
April 7, 2023
10:00 AM
-
11:15 AM
Where: > See description for location
Description: The Accounting and Finance Department and Center for Scientific Computing and Data Science Research announce the following research joint seminar.
Speaker: Assistant Professor. Qing Yan (Towson University)
Title: Hedge Fund Performance Prediction with Machine Learning
Date: Friday, April 7, 2023
Time: 10:00-11:15 AM
Location: via Zoom Meeting
https://umassd.zoom.us/j/4387551509?pwd=bVB2QzdtRmFCdkk1WTVQSUxHMS9iQT09
Meeting ID: 438 755 1509
Abstract: We use machine learning to dynamically identify and optimally combine the predictors of hedge fund performance. The portfolio formed based on the machine learning models has an out-of-sample alpha of 7.8% per year. The importance of each predictor varies over time, but among the 22 predictors we consider, the consistently important predictors are average return, maximum return, alpha, systematic risk, and beta activity. Machine learning provides valuable, unique information about future hedge fund performance that is not captured by individual predictors.
For additional information, please contact Prof. Hongkang Xu at hxu5@umassd.edu or Prof. Scott Field at sfield@umassd.edu.
Speaker: Assistant Professor. Qing Yan (Towson University)
Title: Hedge Fund Performance Prediction with Machine Learning
Date: Friday, April 7, 2023
Time: 10:00-11:15 AM
Location: via Zoom Meeting
https://umassd.zoom.us/j/4387551509?pwd=bVB2QzdtRmFCdkk1WTVQSUxHMS9iQT09
Meeting ID: 438 755 1509
Abstract: We use machine learning to dynamically identify and optimally combine the predictors of hedge fund performance. The portfolio formed based on the machine learning models has an out-of-sample alpha of 7.8% per year. The importance of each predictor varies over time, but among the 22 predictors we consider, the consistently important predictors are average return, maximum return, alpha, systematic risk, and beta activity. Machine learning provides valuable, unique information about future hedge fund performance that is not captured by individual predictors.
For additional information, please contact Prof. Hongkang Xu at hxu5@umassd.edu or Prof. Scott Field at sfield@umassd.edu.
Contact: > See Description for contact information
Topical Areas: Faculty, Students, Accounting and Finance, _Charlton College of Business, Mathematics