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Style Drift Analysis of Hedge Funds

 

Marketed By :  Scholars' Press   Sold By :  Kamal Books International  
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  • Product Description
 

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.

Product Specifications
SKU :COC62930
Country of ManufactureIndia
Product BrandScholars' Press
Product Packaging InfoBox
In The Box1 Piece
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