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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.
Journal cover image

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