| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w8173 |
| 来源ID | Working Paper 8173 |
| Hedge Funds With Style | |
| Stephen J. Brown; William N. Goetzmann | |
| 发表日期 | 2001-03-01 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | The popular perception is that hedge funds follow a reasonably well defined market-neutral investment style. While this long-short investment strategy may have characterized the first hedge funds, today hedge funds are a reasonably heterogeneous group. They are better defined in terms of their freedom from the constraints imposed by the Investment Company Act of 1940, than they are by the particular style of investment. We study the monthly return history of hedge funds over the period 1989 through to January 2000 and find that there are in fact a number of distinct styles of management. We find that differences in investment style contribute about 20 per cent of the cross sectional variability in hedge fund performance. This result is consistent across the years of our sample and is robust to the way in which we determine investment style. We conclude that appropriate style analysis and style management are crucial to success for investors looking to invest in this market. |
| 主题 | Financial Economics ; Financial Institutions |
| URL | https://www.nber.org/papers/w8173 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/565769 |
| 推荐引用方式 GB/T 7714 | Stephen J. Brown,William N. Goetzmann. Hedge Funds With Style. 2001. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w8173.pdf（494KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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