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While the majority of the predictability literature has been devoted to the predictability of traditional asset classes, the literature on the predictability of hedge fund returns is quite scanty. We focus on assessing the out-of-sample predictability of hedge fund strategies by employing an extensive list of predictors. Aiming at reducing uncertainty risk associated with a single predictor model, we ...rst engage into combining the individual forecasts. We consider various combining methodsdoi:10.2139/ssrn.2421009 fatcat:hodoka5ttfgczomzdss27j3fwe