TY - JOUR
T1 - Hedge Funds Clustered by Risk, Return and Correlation
AU - Henker, Julia
AU - Henker, Thomas
PY - 2018/6/1
Y1 - 2018/6/1
N2 - New hedge funds emerge to satisfy high investor demand, but some hedge fund strategies fail to deliver unique return and risk characteristics. Using K means++ clustering and principal component analysis, we find that we can capture the risk profiles of the existing funds with nine clusters. Moreover, we find that some funds deliver risk/return profiles that are not distinct from that of the index. Our results suggest that investors must consider carefully whether a hedge fund can deliver return and diversification benefits befitting its expenses
AB - New hedge funds emerge to satisfy high investor demand, but some hedge fund strategies fail to deliver unique return and risk characteristics. Using K means++ clustering and principal component analysis, we find that we can capture the risk profiles of the existing funds with nine clusters. Moreover, we find that some funds deliver risk/return profiles that are not distinct from that of the index. Our results suggest that investors must consider carefully whether a hedge fund can deliver return and diversification benefits befitting its expenses
UR - http://www.jtiba.com/group-issues_paper.php?n=19
M3 - Article
SN - 1813-0534
VL - 14
JO - Academy of Taiwan Business Management Review
JF - Academy of Taiwan Business Management Review
IS - 1
ER -