Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • PA Reports
  • Submit an article
  • More
    • About JAI
    • Editorial Board
    • Published Ahead of Print (PAP)
    • CAIA Member Login
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • LinkedIn
  • Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Alternative Investments
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Alternative Investments

The Journal of Alternative Investments

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • PA Reports
  • Submit an article
  • More
    • About JAI
    • Editorial Board
    • Published Ahead of Print (PAP)
    • CAIA Member Login
  • LinkedIn
  • Twitter

Style Analysis and Classification of Hedge Funds

Arik Ben Dor, Lev. Dynkin and Anthony Gould
The Journal of Alternative Investments Fall 2006, 9 (2) 10-29; DOI: https://doi.org/10.3905/jai.2006.655934
Arik Ben Dor
A senior associate at Lehman Brothers in New York, NY.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: abendor@lehman.com
Lev. Dynkin
A managing director at Lehman Brothers in New York, NY.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: ldynkin@lehman.com
Anthony Gould
A senior vice president at Lehman Brothers in New York, NY.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: agould@lehman.com
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Abstract

Hedge funds play an increasingly important role in institutional portfolios as an alternative to investments in traditional asset classes. Yet, the minimal disclosure requirements hedge funds face, coupled with an investment mandate that typically allows the use of leverage, short selling, derivatives and highly illiquid securities, present serious challenges for investors. These challenges include, among others, correctly assessing risk/return characteristics, accurately measuring left-tail risk of funds with relatively short return histories as well as comparing performances of funds within the same style. This article addresses these issues through the use of return-based style analysis. It demonstrates how investors can use its results to better understand the nature of risks and exposures of various strategies, and the extent to which investments in various individual funds are correlated. The article also examines the common practice of classifying hedge funds into styles based on their self-reported investment strategy. A simple technique that can help identify inconsistencies between the actual and self-proclaimed style of a fund based on a measure of distance between the return time-series of the two is presented.

TOPICS: Real assets/alternative investments/private equity, style investing, statistical methods

  • © 2006 Institutional Investor, Inc.

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Alternative Investments
Vol. 9, Issue 2
Fall 2006
  • Table of Contents
  • Index by author
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Alternative Investments.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Style Analysis and Classification of Hedge Funds
(Your Name) has sent you a message from The Journal of Alternative Investments
(Your Name) thought you would like to see the The Journal of Alternative Investments web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Style Analysis and Classification of Hedge Funds
Arik Ben Dor, Lev. Dynkin, Anthony Gould
The Journal of Alternative Investments Sep 2006, 9 (2) 10-29; DOI: 10.3905/jai.2006.655934

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Style Analysis and Classification of Hedge Funds
Arik Ben Dor, Lev. Dynkin, Anthony Gould
The Journal of Alternative Investments Sep 2006, 9 (2) 10-29; DOI: 10.3905/jai.2006.655934
del.icio.us logo Digg logo Reddit logo Twitter logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
  • Info & Metrics
  • PDF

Similar Articles

Cited By...

  • Different in Nature, Common in Style: View Commonality of Single Hedge Funds and Funds of Hedge Funds
  • A Network Approach to Analyzing Hedge Fund Connectivity
  • A Transparent View into Hedge Fund Portfolios
  • Hedge Fund Dynamic Market Sensitivity
  • Regime-Dependent Nonlinear Analysis of * Hedge Funds
  • Does a Contagion Effect Exist Between Equity * Markets and Hedge Funds in Periods of Extreme * Stress in Financial Markets?
  • Google Scholar
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 13 1600
 
NEW YORK
41 Madison Avenue, 20th Floor, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • LinkedIn
  • Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2022 Pageant Media Ltd | All Rights Reserved | ISSN: 1520-3255 | E-ISSN: 2168-8435

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies