Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds
This paper 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.
Empirical Characteristics of Dynamic Trading Strategies The Case of Hedge Funds.pdf
Source: http://faculty.fuqua.duke.edu/~dah7/rfs1997.pdf
