The Style Consistency of Hedge Funds
利用1989年5月至1999年4月的新专有数据库，通过硬聚类和模糊聚类方法分析对冲基金的风格分类与一致性，发现风格一致性并不带来更优业绩。
Abstract This study examines the style classification and the style consistency of hedge funds using a new proprietary database over the period May 1989 to April 1999. First, a hard clustering procedure is applied to classify hedge funds into homogeneous groups. It is shown that the methodology is robust and can be used to build stable hedge funds indexes. The method performs equally well as the principal component analysis in explaining in‐ and out‐of‐sample cross‐sectional hedge funds' returns. Second, we extend hard to fuzzy cluster memberships, relaxing the full assignment of the funds to individual clusters. We apply the fuzzy clustering methodology to estimate hedge funds' probabilistic exposure to various styles. We introduce three consistency indicators to quantify the hedge fund managers' style opportunism levels. We finally document that there is no evidence that style consistency leads to superior hedge funds' performance.