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

Published

Journal Article

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.

Full Text

Duke Authors

Cited Authors

  • Fung, W; Hsieh, DA

Published Date

  • January 1, 1997

Published In

Volume / Issue

  • 10 / 2

Start / End Page

  • 275 - 302

International Standard Serial Number (ISSN)

  • 0893-9454

Digital Object Identifier (DOI)

  • 10.1093/rfs/10.2.275

Citation Source

  • Scopus