Hedge fund style analysis with the gap statistic

Robert J. Bianchi; Michael E. Drew; Madhu Veeraraghavan; Peter Whelan

Hedge fund style analysis with the gap statistic

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

^*Corresponding author for this work

Department of Applied Finance

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

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 language	English
Title of host publication	The recent trend of hedge fund strategies
Editors	Yasuaki Watanabe
Place of Publication	New York
Publisher	Nova Science Publishers
Pages	97-132
Number of pages	36
ISBN (Electronic)	9781612091075
ISBN (Print)	9781616683382
Publication status	Published - 2010

Keywords

Hedge funds
Investment style analysis

Cite this

@inbook{fe886b0b47d240b49ffa79b0901fbf14,

title = "Hedge fund style analysis with the gap statistic",

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.",

keywords = "Hedge funds, Investment style analysis",

author = "Bianchi, {Robert J.} and Drew, {Michael E.} and Madhu Veeraraghavan and Peter Whelan",

year = "2010",

language = "English",

isbn = "9781616683382",

pages = "97--132",

editor = "Yasuaki Watanabe",

booktitle = "The recent trend of hedge fund strategies",

publisher = "Nova Science Publishers",

address = "United States",

}

TY - CHAP

T1 - Hedge fund style analysis with the gap statistic

AU - Bianchi, Robert J.

AU - Drew, Michael E.

AU - Veeraraghavan, Madhu

AU - Whelan, Peter

PY - 2010

Y1 - 2010

N2 - 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.

AB - 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.

KW - Hedge funds

KW - Investment style analysis

UR - http://www.scopus.com/inward/record.url?scp=84896407741&partnerID=8YFLogxK

M3 - Chapter

AN - SCOPUS:84896407741

SN - 9781616683382

SP - 97

EP - 132

BT - The recent trend of hedge fund strategies

A2 - Watanabe, Yasuaki

PB - Nova Science Publishers

CY - New York

ER -

Hedge fund style analysis with the gap statistic

Abstract

Keywords

Other files and links

Fingerprint

Cite this