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Hedge funds strategies -are they consistent?

Author

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  • Ribeiro, Mafalda

    (Universidade Lusófona do Porto (ULP))

  • Santos, C. Machado

    (Universidade Lusófona do Porto (ULP))

Abstract

Alternative investment has grown considerably, transforming this industry in the forefront of investment innovation. Despite their public acknowledgment and profound influence in the financial market, there is still relative small understanding about hedge funds strategies style. This paper intends to determine whether stylistic characterization exists across hedge fund strategies, by comparing, for the period of 1998 to 2008, the performance of the EDHEC indices with one of the most representative indices of hedge funds, the CSFB/Tremont index, regarding seven main strategies. The results do not reject the hypothesis of equal mean monthly returns on every strategy, comparing the two data sources, showing that there is no significant differences between the strategies analyzed, suggesting that the purity in each style is not as developed and accurate as we may suppose.

Suggested Citation

  • Ribeiro, Mafalda & Santos, C. Machado, 2009. "Hedge funds strategies -are they consistent?," Working Papers 10/2009, Universidade Portucalense, Centro de Investigação em Gestão e Economia (CIGE).
    • Handle: RePEc:ris:cigewp:2009_010
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    References listed on IDEAS

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    More about this item

    Keywords

    Hedge funds; strategies and style; consistency; purity; bias;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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