Stylistic Differences across Hedge Funds as Revealed by Historical Monthly Returns
Hany A. Shawky, Achla Marathe
DOI: 10.4236/ti.2010.11004   PDF    HTML     5,096 Downloads   8,931 Views   Citations


This paper utilizes two clustering techniques to provide an objective method for classification of hedge funds. A data driven classification framework that utilizes monthly hedge fund returns as inputs, is shown to pro-vide better comparisons among fund categories and can help investors in identifying common factors that can lead to better diversification strategies. Our clustering results indicate that other than the managed fu-tures category, there are only three unique hedge fund styles. These three categories are the Equity Hedge, Fund of Hedge Funds and the Emerging Markets categories. None of the other hedge fund classifications such as Global macro, Distressed Securities, Merger Arbitrage, Convertible Arbitrage appear as a unique and independent category.

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H. Shawky and A. Marathe, "Stylistic Differences across Hedge Funds as Revealed by Historical Monthly Returns," Technology and Investment, Vol. 1 No. 1, 2010, pp. 26-34. doi: 10.4236/ti.2010.11004.

Conflicts of Interest

The authors declare no conflicts of interest.


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