A Quantitative Analysis of Hedge Fund Style and Performance
نویسندگان
چکیده
In this analysis we identify dynamic hedge fund strategies quantitatively pursuing a Principal Component Analysis following Fung & Hsieh (1997). We extract five dominant hedge fund strategies each representing similar investment styles and analyse the performance of each strategy by employing a multi-factor model comprising both market indices and passive option strategies along the lines of Agerwal & Naik (2000). We find that that such passive option strategies play an important role in explaining hedge fund returns. Moreover we show that the majority of the five homogenous strategies show neutral performance, but this result turns out to be sensitive to any potential survivorship biases.
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