Empirical characteristics of dynamic trading strategies: The case of hedge funds
Publication
, Journal Article
Fung, W; Hsieh, DA
Published in: Review of Financial Studies
January 1, 1997
This article presents some 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 framework for style analysis of both buy- and-hold and dynamic trading strategies.
Duke Scholars
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Published In
Review of Financial Studies
DOI
ISSN
0893-9454
Publication Date
January 1, 1997
Volume
10
Issue
2
Start / End Page
275 / 302
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment
- 1402 Applied Economics
- 1401 Economic Theory
Citation
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Fung, W., & Hsieh, D. A. (1997). Empirical characteristics of dynamic trading strategies: The case of hedge funds. Review of Financial Studies, 10(2), 275–302. https://doi.org/10.1093/rfs/10.2.275
Fung, W., and D. A. Hsieh. “Empirical characteristics of dynamic trading strategies: The case of hedge funds.” Review of Financial Studies 10, no. 2 (January 1, 1997): 275–302. https://doi.org/10.1093/rfs/10.2.275.
Fung W, Hsieh DA. Empirical characteristics of dynamic trading strategies: The case of hedge funds. Review of Financial Studies. 1997 Jan 1;10(2):275–302.
Fung, W., and D. A. Hsieh. “Empirical characteristics of dynamic trading strategies: The case of hedge funds.” Review of Financial Studies, vol. 10, no. 2, Jan. 1997, pp. 275–302. Scopus, doi:10.1093/rfs/10.2.275.
Fung W, Hsieh DA. Empirical characteristics of dynamic trading strategies: The case of hedge funds. Review of Financial Studies. 1997 Jan 1;10(2):275–302.
Published In
Review of Financial Studies
DOI
ISSN
0893-9454
Publication Date
January 1, 1997
Volume
10
Issue
2
Start / End Page
275 / 302
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment
- 1402 Applied Economics
- 1401 Economic Theory