Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds
利用未公开的对冲基金数据集，发现其策略与共同基金截然不同且高度动态，识别出五种主导投资风格，为买入持有和动态交易策略的风格分析提供了统一框架。
This article presents some new results on an unexplored dataset on hedge fund performance. The results indicate that hedge funds follow strategies that are dramatically different from mutual funds, and support the claim that these strategies are highly dynamic. The article finds five dominant investment styles in hedge funds, which when added to Sharpe's (1992) asset class factor model can provide an integrated framework for style analysis of both buy-and-hold and dynamic trading strategies.