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We investigate the existence of style drift within the hedge fund industry and examine the relationship between style drift and both the stages of the funds' lives and the past returns. There are two key contributions made in this study. Firstly, we consider fund risk return profiles directly, rather than classifying funds by their self-described strategies. Secondly, we implement a K-Means clustering algorithm with correlation distance to classify strategy groups, unlike other studies which clustered on qualitative fund attributes. We report a number of interesting empirical findings. Style drift is present in the hedge fund industry, and certain groups are more prone to "drift" than others. Funds at the end of their lives display a significantly higher level of erratic behaviour compared to their behaviours at birth. Finally, poor past performance relative to peers induce funds to change their style more frequently.
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L'autore:
Lin Xu graduated with honors from UNSW. Thomas Henker, PhD (finance), MBA, CFA is a Professor of Finance at Bond University in Queensland, Australia. His research is in alternative investments and asset pricing. Julia Henker, PhD (finance), MBA, CFA is an Associate Professor of Finance at Bond University. She publishes in behavioral finance.
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- EditoreScholars' Press
- Data di pubblicazione2013
- ISBN 10 3639700023
- ISBN 13 9783639700022
- RilegaturaCopertina flessibile
- Numero di pagine96
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Style Drift Analysis of Hedge Funds: with a K-means Clustering Algorithm
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Style Drift Analysis of Hedge Funds
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Style Drift Analysis of Hedge Funds
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Descrizione libro Taschenbuch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -We investigate the existence of style drift within the hedge fund industry and examine the relationship between style drift and both the stages of the funds lives and the past returns. There are two key contributions made in this study. Firstly, we consider fund risk return profiles directly, rather than classifying funds by their self-described strategies. Secondly, we implement a K-Means clustering algorithm with correlation distance to classify strategy groups, unlike other studies which clustered on qualitative fund attributes. We report a number of interesting empirical findings. Style drift is present in the hedge fund industry, and certain groups are more prone to drift than others. Funds at the end of their lives display a significantly higher level of erratic behaviour compared to their behaviours at birth. Finally, poor past performance relative to peers induce funds to change their style more frequently. 96 pp. Englisch. Codice articolo 9783639700022
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Style Drift Analysis of Hedge Funds : with a K-means Clustering Algorithm
Editore:
Scholars' Press
(2013)
ISBN 10: 3639700023
ISBN 13: 9783639700022
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Descrizione libro Taschenbuch. Condizione: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - We investigate the existence of style drift within the hedge fund industry and examine the relationship between style drift and both the stages of the funds lives and the past returns. There are two key contributions made in this study. Firstly, we consider fund risk return profiles directly, rather than classifying funds by their self-described strategies. Secondly, we implement a K-Means clustering algorithm with correlation distance to classify strategy groups, unlike other studies which clustered on qualitative fund attributes. We report a number of interesting empirical findings. Style drift is present in the hedge fund industry, and certain groups are more prone to drift than others. Funds at the end of their lives display a significantly higher level of erratic behaviour compared to their behaviours at birth. Finally, poor past performance relative to peers induce funds to change their style more frequently. Codice articolo 9783639700022
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Descrizione libro Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Xu LinLin Xu graduated with honors from UNSW. Thomas Henker, PhD (finance), MBA, CFA is a Professor of Finance at Bond University in Queensland, Australia. His research is in alternative investments and asset pricing. Julia Henker, . Codice articolo 4998559
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