Further Evidence on Hedge Funds Performance

Topics:
Investment and Capital Markets
Tags:
Hedge Fund,
Human Resources,
Management,
Performance,
Performance Management,
Strategy,
University Of Aarhus,
Workforce Management
Source:
University of Aarhus

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Overview: This analysis identifies dynamic hedge fund strategies quantitatively pursuing a principal component analysis and extracts five dominant hedge fund strategies each representing similar investment styles and analyzes the performance of each strategy by employing a multi-factor model comprising both market indices and passive option strategies. The paper further finds that the majority of the five homogenous strategies show superior performance. However, correcting for survivorship bias this superior performance disappears.

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Format: PDF | Size: 188KB | Date: Jun 2003 | Pages: 31

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