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The Journal of Alternative Investments

The Journal of Alternative Investments

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Article

The (Mis)Behavior of Hedge Fund Strategies: A Network-Based Analysis

Eduard Baitinger and Thomas Maier
The Journal of Alternative Investments Summer 2019, jai.2019.1.071; DOI: https://doi.org/10.3905/jai.2019.1.071
Eduard Baitinger
is head of asset allocation at FERI Trust GmbH, Haus am Park, Rathausplatz 8-10, 61348 Bad Homburg v.d.H, Germany
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Thomas Maier
is director at FERI Trust GmbH, Haus am Park, Rathausplatz 8-10, 61348 Bad Homburg v.d.H, Germany
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Abstract

The authors discuss a network-based methodology that models hedge fund strategies across the superordinate–subordinate dimension to gain new insights into their interrelation. This methodology uncovers considerable misbehavior of various hedge fund strategies from the network perspective. Simply speaking, a misbehaving hedge fund strategy has undesired network proximity (similarity) with strategies from other classifications and/or undesired network-based risk properties. The authors conduct extensive static and dynamic (bootstrapping) analyses demonstrating misbehaviors for the full-sample data set. In addition, they demonstrate that numerous network-based behavioral properties of hedge fund strategies can explain future hedge fund returns. This aspect is of significant relevance, as it shows that network-based information has the potential to act as a value-adding warning indicator for funds of hedge funds. Summing up, the authors think that this article provides novel and valuable tools for hedge fund investors, managers, and analysts.

TOPICS: Real assets/alternative investments/private equity, performance measurement

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The Journal of Alternative Investments: 23 (3)
The Journal of Alternative Investments
Vol. 23, Issue 3
Winter 2021
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The (Mis)Behavior of Hedge Fund Strategies: A Network-Based Analysis
Eduard Baitinger, Thomas Maier
The Journal of Alternative Investments Apr 2019, jai.2019.1.071; DOI: 10.3905/jai.2019.1.071

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The (Mis)Behavior of Hedge Fund Strategies: A Network-Based Analysis
Eduard Baitinger, Thomas Maier
The Journal of Alternative Investments Apr 2019, jai.2019.1.071; DOI: 10.3905/jai.2019.1.071
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  • Article
    • Abstract
    • DATA SET AND METHODOLOGY
    • EMPIRICAL EVIDENCE: STATIC ANALYSIS
    • EMPIRICAL EVIDENCE: DYNAMIC ANALYSIS
    • EMPIRICAL EVIDENCE: TIME SERIES ANALYSIS
    • CONCLUDING REMARKS
    • ENDNOTES
    • REFERENCES
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