Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds

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ID: 294589
1997
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Abstract
This article presents some new results on an unexplored dataset on hedge fund performance. The results indicate that hedge funds follow strategies that are dramatically different from mutual funds, and support the claim that these strategies are highly dynamic. The article finds five dominant investment styles in hedge funds, which when added to Sharpe's (1992) asset class factor model can provide an integrated framework for style analysis of both buy-and-hold and dynamic trading strategies.
Reference Key
openalex_W2118320195 Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors William Fung, David A. Hsieh
Journal review of financial studies
Year 1997
DOI
10.1093/rfs/10.2.275
URL
https://doi.org/10.1093/rfs/10.2.275
Keywords Keywords not found

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