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Stylistic Differences across Hedge Funds as Revealed by Historical Monthly Returns (2009)
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BibTeX
@MISC{Shawky09stylisticdifferences,
author = {Hany A. Shawky and Achla Marathe},
title = {Stylistic Differences across Hedge Funds as Revealed by Historical Monthly Returns},
year = {2009}
}
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Abstract
This paper utilizes two clustering techniques to provide an objective method for classification of hedge funds. A data driven classification framework that utilizes monthly hedge fund returns as inputs, is shown to pro-vide better comparisons among fund categories and can help investors in identifying common factors that can lead to better diversification strategies. Our clustering results indicate that other than the managed fu-tures category, there are only three unique hedge fund styles. These three categories are the Equity Hedge, Fund of Hedge Funds and the Emerging Markets categories. None of the other hedge fund classifications such as Global macro, Distressed Securities, Merger Arbitrage, Convertible Arbitrage appear as a unique and independent category.
Keyphrases
hedge fund stylistic difference historical monthly return hedge fund classification objective method convertible arbitrage distressed security data driven classification framework merger arbitrage independent category fund category global macro monthly hedge fund return common factor emerging market category fu-tures category equity hedge unique hedge fund style diversification strategy
