Hedge funds strategies

Journal article


Authors / Editors


Research Areas


Publication Details

Subtitle: are they consistent?
Author list: Mendes Ribeiro LM, Machado-Santos, C.
Publisher: EuroJournals
Publication year: 2011
Volume number: 73
Start page: 171
End page: 187
Number of pages: 17
ISSN: 1450-2887
Languages: English-Great Britain (EN-GB)


Abstract

Alternative investment has grown considerably, transforming this industry in the forefront of investment innovation. Despite their public acknowledgment and profound influence in the financial market, there is still relative small understanding about hedge funds strategies style. In such a context, this paper intends to determine whether stylistic characterization exists across hedge fund strategies, by comparing, for the period of Jan.1998 to Dec.2008, the performance of the EDHEC indices with one of the most representative indices of hedge funds, the CSFB/Tremont index, regarding seven main strategies. The results do not reject the hypothesis of equal mean monthly returns on every strategy, comparing the two data sources, showing that there is no significant difference between the strategies analyzed, what suggests that the purity in each style is not sufficient developed (and accurate) as we may suppose.


Keywords

Bias, Consistency, Hedge funds, Purity, Strategies and style


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Last updated on 2019-10-08 at 00:30