Publication Type

Journal Article

Version

Publisher’s Version

Publication Date

12-2009

Abstract

I apply the endogenous benchmark approach to the study of hedge funds. I find that including an investment style benchmark significantly reduces within style correlations in hedge fund residuals. Also, the performance spread between high past alpha t-statistic (a risk-adjusted information ratio) funds and low past alpha t-statistic funds increases dramatically when performance is measured relative to fund investment style. There appears to be valuable information in investment style performance that can aid in fund selection.

Keywords

Hedge funds, investment strategies, benchmarking

Discipline

Finance and Financial Management

Publication

Hedge Fund Insights: Newsletter of the BNP Paribus Hedge Fund Centre at SMU

First Page

2-7

Publisher

BNP Paribus Hedge Fund Centre, Singapore Management University

City or Country

Singapore

Copyright Owner and License

BNP Paribus Hedge Fund Centre, Singapore Management University

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