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.
|Title of host publication||The recent trend of hedge fund strategies|
|Place of Publication||New York|
|Publisher||Nova Science Publishers|
|Number of pages||36|
|Publication status||Published - 2010|
- Hedge funds
- Investment style analysis