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Accounting and Finance Department Research Seminar

When: Friday, April 7, 2023
10:00 AM - 11:15 AM
Where: > See description for location
Description: The Accounting and Finance Department announces the following research 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
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
Contact: > See Description for contact information
Topical Areas: Faculty, General Public, Staff and Administrators, Accounting and Finance, _Charlton College of Business