Abstract

http://ssrn.com/abstract=967832
 
 

References (26)



 
 

Citations (6)



 


 



The Style Consistency of Hedge Funds


Rajna Gibson


University of Geneva - Graduate School of Business (HEC-Geneva); Swiss Finance Institute

Sebastien Gyger


Lombard Odier Darier Hentsch & Cie


European Financial Management, Vol. 13, No. 2, pp. 287-308, March 2007

Abstract:     
This study examines the style classification and the style consistency of hedge funds using a new proprietary database over the period May 1989 to April 1999. First, a hard clustering procedure is applied to classify hedge funds into homogeneous groups. It is shown that the methodology is robust and can be used to build stable hedge funds indexes. The method performs equally well as the principal component analysis in explaining in- and out-of-sample cross-sectional hedge funds' returns. Second, we extend hard to fuzzy cluster memberships, relaxing the full assignment of the funds to individual clusters. We apply the fuzzy clustering methodology to estimate hedge funds' probabilistic exposure to various styles. We introduce three consistency indicators to quantify the hedge fund managers' style opportunism levels. We finally document that there is no evidence that style consistency leads to superior hedge funds' performance.

Number of Pages in PDF File: 22

Accepted Paper Series





Date posted: March 4, 2007  

Suggested Citation

Gibson , Rajna and Gyger, Sebastien, The Style Consistency of Hedge Funds. European Financial Management, Vol. 13, No. 2, pp. 287-308, March 2007. Available at SSRN: http://ssrn.com/abstract=967832 or http://dx.doi.org/10.1111/j.1468-036X.2006.00355.x

Contact Information

Rajna Gibson (Contact Author)
University of Geneva - Graduate School of Business (HEC-Geneva) ( email )
40 Boulevard du Pont d'Arve
Geneva 4, 1211
Switzerland
+41.22.379.89.83 (Phone)
Swiss Finance Institute ( email )
c/o University of Geneve
40, Bd du Pont-d'Arve
1211 Geneva, CH-6900
Switzerland

Sebastien Gyger
Lombard Odier Darier Hentsch & Cie ( email )
Rue de la Corraterie 11
Geneva, 1204
Switzerland
+41 22 709 31 77 (Phone)
HOME PAGE: http://www.lodh.com
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References:  26
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