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Style Drift Analysis Of Hedge Funds, Lin Xu, Thomas Henker, Julia Henker
Style Drift Analysis Of Hedge Funds, Lin Xu, Thomas Henker, Julia Henker
Thomas Henker
It is well established in the literature that mutual fund managers are susceptible to style drift. However, less is understood regarding the existence of the style behaviours in a closely linked alternative investment vehicle class – hedge funds. We investigate the existence of style drift within the hedge fund industry and examine the relationship between style drift and both stages of the funds’ lives and the past returns. There are two key contributions made in this study. Firstly, we consider fund risk return profiles directly, rather than classifying funds by their self-described strategies. Secondly, we implement a K-Means clustering algorithm …