Abstract

http://ssrn.com/abstract=261068
 
 

References (17)



 
 

Citations (82)



 


 



Hedge Funds With Style


Stephen J. Brown


New York University - Stern School of Business

William N. Goetzmann


Yale School of Management - International Center for Finance; National Bureau of Economic Research (NBER)

February 2001

EFA 2001 Barcelona Meetings; Yale ICF Working Paper No. 00-29

Abstract:     
The popular perception is that hedge funds follow a reasonably well defined market-neutral investment style. While this long- short investment strategy may have characterized the first hedge funds, today hedge funds are a reasonably heterogeneous group. They are better defined in terms of their freedom from the constraints imposed by the Investment Company Act of 1940, than they are by the particular style of investment. We study the monthly return history of hedge funds over the period 1989 through to January 2000 and find that there are in fact a number of distinct styles of management. We find that differences in investment style contribute about 20 percent of the cross sectional variability in hedge fund performance. This result is consistent across the years of our sample and is robust to the way in which we determine investment style. We conclude that appropriate style analysis and style management are crucial to success for investors looking to invest in this market.

Number of Pages in PDF File: 35

JEL Classification: G0, G2

working papers series


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Date posted: February 21, 2001  

Suggested Citation

Brown, Stephen J. and Goetzmann, William N., Hedge Funds With Style (February 2001). EFA 2001 Barcelona Meetings; Yale ICF Working Paper No. 00-29. Available at SSRN: http://ssrn.com/abstract=261068 or http://dx.doi.org/10.2139/ssrn.261068

Contact Information

Stephen J. Brown (Contact Author)
New York University - Stern School of Business ( email )
Stern School of Business
44 West 4th Street
New York, NY 10012-1126
United States
212-998-0306 (Phone)
212-995-4233 (Fax)
William N. Goetzmann
Yale School of Management - International Center for Finance ( email )
135 Prospect Street
P.O. Box 208200
New Haven, CT 06520-8200
United States
203-432-5950 (Phone)
203-432-8931 (Fax)
HOME PAGE: http://viking.som.yale.edu

National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
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