• myGriffith
    • Staff portal
    • Contact Us⌄
      • Future student enquiries 1800 677 728
      • Current student enquiries 1800 154 055
      • International enquiries +61 7 3735 6425
      • General enquiries 07 3735 7111
      • Online enquiries
      • Staff phonebook
    View Item 
    •   Home
    • Griffith Research Online
    • Book chapters
    • View Item
    • Home
    • Griffith Research Online
    • Book chapters
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    Browse

  • All of Griffith Research Online
    • Communities & Collections
    • Authors
    • By Issue Date
    • Titles
  • This Collection
    • Authors
    • By Issue Date
    • Titles
  • Statistics

  • Most Popular Items
  • Statistics by Country
  • Most Popular Authors
  • Support

  • Contact us
  • FAQs
  • Admin login

  • Login
  • Hedge Fund Style Analysis with the Gap Statistic

    Thumbnail
    View/Open
    65810_1.pdf (273.5Kb)
    Author(s)
    Bianchi, RJ
    Drew, ME
    Veeraraghavan, M
    Whelan, P
    Griffith University Author(s)
    Bianchi, Robert
    Drew, Michael E.
    Veeraraghavan, Madhu
    Year published
    2010
    Metadata
    Show full item record
    Abstract
    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.
    View less >
    Book Title
    The Recent Trend of Hedge Fund Strategies
    Publisher URI
    https://www.novapublishers.com/catalog/product_info.php?products_id=12971
    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
    Publication URI
    http://hdl.handle.net/10072/37486
    Collection
    • Book chapters

    Footer

    Disclaimer

    • Privacy policy
    • Copyright matters
    • CRICOS Provider - 00233E

    Tagline

    • Gold Coast
    • Logan
    • Brisbane - Queensland, Australia
    First Peoples of Australia
    • Aboriginal
    • Torres Strait Islander