Practical Applications of Holdings Concentration and Hedge Fund Investment Strategies
| Autor: | Xiaohui Yang, Hossein B. Kazemi |
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| Rok vydání: | 2020 |
| Předmět: | |
| Zdroj: | The Journal of Alternative Investments. 22:1.4-6 |
| ISSN: | 2168-8435 1520-3255 |
| DOI: | 10.3905/jai.22.s3.025 |
| Popis: | Practical Applications In Holdings Concentration and Hedge Fund Investment Strategies, published in the Spring 2020 issue of The Journal of Alternative Investments, Xiaohui Yang (Fairleigh Dickinson University) and Hossein Kazemi (University of Massachusetts Amherst) investigate whether hedge fund managers are skilled stock pickers and can earn abnormal risk-adjusted returns. By focusing on the proportion of a stock that a hedge fund holds relative to the stock’s proportion in its benchmark, the authors note that the concentrated stocks outperform the least-concentrated stocks under most conditions. The analysis provides insights on market efficiency because certain stock prices do not immediately reflect publicly available holdings information. The study considers the relative performance of small-cap and large-cap stocks with high holding concentrations in crisis and non-crisis conditions. By simulating strategies based on holding concentrations, the authors examine risk-adjusted returns as well as downside risks. They conclude that investors can potentially use publicly available hedge fund information to create a profitable investment strategy. TOPICS:Real assets/alternative investments/private equity, portfolio construction, performance measurement |
| Databáze: | OpenAIRE |
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