The Road Less Traveled: Strategy Distinctiveness and Hedge Fund Performance

• 成果类型: Article
• 署名作者: Sun, Zheng; Wang, Ashley; Zheng, Lu
• 署名单位: University of California System; University of California Irvine; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhr092
• 发表日期: 2012
• 页码: 96
• 关键词: risk; persistence; INFORMATION; COMPETITION; management; survival

摘要

We investigate whether skilled hedge fund managers are more likely to pursue unique investment strategies that result in superior performance. We propose a measure of the distinctiveness of a fund's investment strategy based on historical fund return data. We call the measure the Strategy Distinctiveness Index (SDI). We document substantial cross-sectional variations as well as strong persistence in SDI. Our main result indicates that, on average, a higher SDI is associated with better subsequent performance. After adjusting for risk, funds in the highest SDI quintile outperform funds in the lowest quintile by 3.5% in the subsequent year.