Hedge Funds With Style

Stephen Brown () and William Goetzmann

Yale School of Management Working Papers from Yale School of Management

Abstract: The popular perception is that hedge funds follow a reasonably well defined market-neutral investment style. While this long- short investment strategy may have characterized the first hedge funds, today hedge funds are a reasonably heterogeneous group. They are better defined in terms of their freedom from the constraints imposed by the Investment Company Act of 1940, than they are by the particular style of investment. We study the monthly return history of hedge funds over the period 1989 through to January 2000 and find that there are in fact a number of distinct styles of management. We find that differences in investment style contribute about 20 percent of the cross s

Date: 2001-02-01, Revised 2008-04-01
New Economics Papers: this item is included in nep-dev, nep-fin and nep-rmg
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Related works:
Working Paper: Hedge Funds With Style (2008)
Working Paper: Hedge Funds With Style (2001)
Working Paper: Hedge Funds With Style (2001)
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