Hedge fund style analysis with the gap statistic

Robert J. Bianchi*, Michael E. Drew, Madhu Veeraraghavan, Peter Whelan

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingChapter

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.

Original languageEnglish
Title of host publicationThe recent trend of hedge fund strategies
EditorsYasuaki Watanabe
Place of PublicationNew York
PublisherNova Science Publishers
Pages97-132
Number of pages36
ISBN (Electronic)9781612091075
ISBN (Print)9781616683382
Publication statusPublished - 2010

Keywords

  • Hedge funds
  • Investment style analysis

Fingerprint Dive into the research topics of 'Hedge fund style analysis with the gap statistic'. Together they form a unique fingerprint.

Cite this