Empirical characteristics of dynamic trading strategies: The case of hedge funds

被引：429

作者：

Fung, W ^{[1
]}

Hsieh, DA ^{[1
]}

机构：

[1] DUKE UNIV,FUQUA SCH BUSINESS,DURHAM,NC 27708

来源：

REVIEW OF FINANCIAL STUDIES | 1997年 / 10卷 / 02期

关键词：

D O I：

10.1093/rfs/10.2.275

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This article presents sense new results on an unexplored dataset on hedge fund performance., The results indicate that hedge funds follow strategies that are dramatically different from mutual funds, and support the claim that these strategies are highly dynamic. The article finds five dominant investment styles in hedge funds, which when added to Sharpe's (1992) asset class factor model can provide an integrated frame-work for style analysts of both buy-and-hold and dynamic trading strategies.

引用

页码：275 / 302

页数：28

共 12 条

[1] SURVIVORSHIP BIAS IN PERFORMANCE STUDIES [J].