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Présentation de l'éditeur :
We investigate the existence of style drift within the hedge fund industry and examine the relationship between style drift and both the stages of the funds’ lives and the past returns. There are two key contributions made in this study. Firstly, we consider fund risk return profiles directly, rather than classifying funds by their self-described strategies. Secondly, we implement a K-Means clustering algorithm with correlation distance to classify strategy groups, unlike other studies which clustered on qualitative fund attributes. We report a number of interesting empirical findings. Style drift is present in the hedge fund industry, and certain groups are more prone to “drift” than others. Funds at the end of their lives display a significantly higher level of erratic behaviour compared to their behaviours at birth. Finally, poor past performance relative to peers induce funds to change their style more frequently.
Biographie de l'auteur :
Lin Xu graduated with honors from UNSW. Thomas Henker, PhD (finance), MBA, CFA is a Professor of Finance at Bond University in Queensland, Australia. His research is in alternative investments and asset pricing. Julia Henker, PhD (finance), MBA, CFA is an Associate Professor of Finance at Bond University. She publishes in behavioral finance.
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- ÉditeurScholars' Press
- Date d'édition2013
- ISBN 10 3639700023
- ISBN 13 9783639700022
- ReliureBroché
- Nombre de pages96
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Style Drift Analysis of Hedge Funds: with a K-means Clustering Algorithm
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Style Drift Analysis of Hedge Funds
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Description du livre Taschenbuch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -We investigate the existence of style drift within the hedge fund industry and examine the relationship between style drift and both the stages of the funds lives and the past returns. There are two key contributions made in this study. Firstly, we consider fund risk return profiles directly, rather than classifying funds by their self-described strategies. Secondly, we implement a K-Means clustering algorithm with correlation distance to classify strategy groups, unlike other studies which clustered on qualitative fund attributes. We report a number of interesting empirical findings. Style drift is present in the hedge fund industry, and certain groups are more prone to drift than others. Funds at the end of their lives display a significantly higher level of erratic behaviour compared to their behaviours at birth. Finally, poor past performance relative to peers induce funds to change their style more frequently. 96 pp. Englisch. N° de réf. du vendeur 9783639700022
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Style Drift Analysis of Hedge Funds with a Kmeans Clustering Algorithm
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(2013)
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ISBN 13 : 9783639700022
Neuf
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Description du livre PAP. Etat : New. New Book. Shipped from UK. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. N° de réf. du vendeur L0-9783639700022
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Style Drift Analysis of Hedge Funds : with a K-means Clustering Algorithm
Edité par
Scholars' Press
(2013)
ISBN 10 : 3639700023
ISBN 13 : 9783639700022
Neuf
Taschenbuch
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Description du livre Taschenbuch. Etat : Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - We investigate the existence of style drift within the hedge fund industry and examine the relationship between style drift and both the stages of the funds lives and the past returns. There are two key contributions made in this study. Firstly, we consider fund risk return profiles directly, rather than classifying funds by their self-described strategies. Secondly, we implement a K-Means clustering algorithm with correlation distance to classify strategy groups, unlike other studies which clustered on qualitative fund attributes. We report a number of interesting empirical findings. Style drift is present in the hedge fund industry, and certain groups are more prone to drift than others. Funds at the end of their lives display a significantly higher level of erratic behaviour compared to their behaviours at birth. Finally, poor past performance relative to peers induce funds to change their style more frequently. N° de réf. du vendeur 9783639700022
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Style Drift Analysis of Hedge Funds with a Kmeans Clustering Algorithm
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Scholars' Press
(2013)
ISBN 10 : 3639700023
ISBN 13 : 9783639700022
Neuf
PAP
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Description du livre PAP. Etat : New. New Book. Delivered from our UK warehouse in 4 to 14 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. N° de réf. du vendeur L0-9783639700022
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Style Drift Analysis of Hedge Funds
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(2013)
ISBN 10 : 3639700023
ISBN 13 : 9783639700022
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Description du livre Etat : New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Xu LinLin Xu graduated with honors from UNSW. Thomas Henker, PhD (finance), MBA, CFA is a Professor of Finance at Bond University in Queensland, Australia. His research is in alternative investments and asset pricing. Julia Henker, . N° de réf. du vendeur 4998559
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