Publication Type
Magazine 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
Research Areas
Finance
Publication
Hedge Fund Insights: Newsletter of the BNP Paribus Hedge Fund Centre at SMU
First Page
2
Last Page
7
Publisher
BNP Paribus Hedge Fund Centre, Singapore Management University
City or Country
Singapore
Citation
Teo, Melvyn. 2009 December. Predicting Hedge Fund Performance with Style. Hedge Fund Insights: Newsletter of the BNP Paribus Hedge Fund Centre at SMU, 2-7.
Copyright Owner and License
BNP Paribus Hedge Fund Centre, Singapore Management University
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.