The Role of Strategy Distinctiveness in Hedge Fund Performance

Panopoulou, Ekaterini, Voukelatos, Nikolaos (2017) The Role of Strategy Distinctiveness in Hedge Fund Performance. In: 7th International Conference of the Financial Engineering and Banking Society, 1 June 2017 - 3 June 2017, Glasgow. (Unpublished) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:62170)

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Abstract

This paper proposes a new measure of strategy distinctiveness for hedge funds, termed the Dispersion Contribution Index (DCI). This measure is based on a fund's return-distance from the mean return of same-style funds. We find that funds with more distinctive strategies tend to underperform relative to their less distinctive peers, after accounting for their idiosyncratic characteristics. This relative underperformance stems primarily from the higher risk exposure associated with pursuing a unique strategy. Our findings are robust to a wide array of additional tests.

Item Type:	Conference or workshop item (Paper)
Subjects:	H Social Sciences > HG Finance
Divisions:	Divisions > Kent Business School - Division > Department of Accounting and Finance
Depositing User:	Nikolaos Voukelatos
Date Deposited:	01 Jul 2017 07:38 UTC
Last Modified:	05 Nov 2024 10:56 UTC
Resource URI:	https://kar.kent.ac.uk/id/eprint/62170 (The current URI for this page, for reference purposes)

University of Kent Author Information

Panopoulou, Ekaterini.

Creator's ORCID:	https://orcid.org/0000-0001-5080-9965
CReDIT Contributor Roles:

Voukelatos, Nikolaos.

Creator's ORCID:	https://orcid.org/0000-0001-8272-2901
CReDIT Contributor Roles:

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