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Hedge Funds With Style

Author

Listed:
  • Stephen Brown
  • William Goetzmann
Abstract
The popular perception is that hedge funds follow a reasonably well defined market-neutral investment style. While this long- short investment strategy may have characterized the first hedge funds, today hedge funds are a reasonably heterogeneous group. They are better defined in terms of their freedom from the constraints imposed by the Investment Company Act of 1940, than they are by the particular style of investment. We study the monthly return history of hedge funds over the period 1989 through to January 2000 and find that there are in fact a number of distinct styles of management. We find that differences in investment style contribute about 20 percent of the cross s

Suggested Citation

  • Stephen Brown & William Goetzmann, 2001. "Hedge Funds With Style," Yale School of Management Working Papers ysm21, Yale School of Management, revised 01 Apr 2008.
    • Handle: RePEc:ysm:wpaper:ysm21
    as

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    File URL: https://repec.som.yale.edu/icfpub/publications/2655.pdf
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    References listed on IDEAS

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    JEL classification:

    • G2 - Financial Economics - - Financial Institutions and Services
    • G0 - Financial Economics - - General

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