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Perspectives on Hedge Fund Herding

其他書名	A Survey of Analytical Methods
出版	SSRN, 2016
URL	http://books.google.com.hk/books?id=e9MBzwEACAAJ&hl=&source=gbs_api

註釋This paper examines herding among hedge fund styles and uncovers new intuitions about the industry. By examining hedge fund style index returns using four techniques, we show that perceptions of herding may differ based on the choice of analytical method. Our analysis with independent component analysis is new, and we show that over time the various styles have evolved to meet the variance expectations of investors. We infer that hedge fund managers are adding value through techniques that deliver consistent returns derived from idiosyncratic factors that appear in higher moments.