Hedge Fund Style Analysis with the Gap Statistic

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Author(s)
Bianchi, RJ
Drew, ME
Veeraraghavan, M
Whelan, P
Year published
2010
Metadata
Show full item recordAbstract
We propose a new approach to investment style analysis by classifying the hedge fund universe with the Tibshirani, Walther and Hastie (2001) Gap Statistic. This study finds the statistical presence of only three broad hedge fund investment styles for the period 1994 to 2001. The investment styles can be best described as: quasi-long-equity; non-directional; and, global-directional. We validate the findings of the Gap Statistic by passively replicating the systematic returns of these three investment styles with traditional asset classes.We propose a new approach to investment style analysis by classifying the hedge fund universe with the Tibshirani, Walther and Hastie (2001) Gap Statistic. This study finds the statistical presence of only three broad hedge fund investment styles for the period 1994 to 2001. The investment styles can be best described as: quasi-long-equity; non-directional; and, global-directional. We validate the findings of the Gap Statistic by passively replicating the systematic returns of these three investment styles with traditional asset classes.
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Book Title
The Recent Trend of Hedge Fund Strategies
Copyright Statement
© 2010 Nova Science Publishers Inc. The attached file is reproduced here in accordance with the copyright policy of the publisher. It is the author-manuscript version of the paper. Please refer to the publisher's website for further information.
Subject
Finance