Minimum market transparency requirements impose Hedge Fund (HF) managersto use the statement declared strategy in practice. However each declared strategy may actually origin a multiplicity of implemented management decisions. Is then the ”actual ”strategy the same as the ”announced” strategy? Can the actual strategybe monitored or compared to the actual strategy of HF belonging to the same ”announced” class? Can the announced or actual strategy be used as a quantitative argument in the fund of funds policy? With the appropriate metric, it is possible to draw a minimum spanning tree (MST) to emphasize the similarity structure that could be hidden in raw correlation matrix of HF returns.
Ultrametricity in Hedge Fund Selection and Fund of Funds Diversification / Miceli, Maria Augusta; Gabriele, Susinno. - ELETTRONICO. - (2003). (Intervento presentato al convegno Application of Physics in Financial Analysis 4 (APFA4) tenutosi a Warsaw nel 13-15 November 2003).
Ultrametricity in Hedge Fund Selection and Fund of Funds Diversification
MICELI, Maria Augusta;
2003
Abstract
Minimum market transparency requirements impose Hedge Fund (HF) managersto use the statement declared strategy in practice. However each declared strategy may actually origin a multiplicity of implemented management decisions. Is then the ”actual ”strategy the same as the ”announced” strategy? Can the actual strategybe monitored or compared to the actual strategy of HF belonging to the same ”announced” class? Can the announced or actual strategy be used as a quantitative argument in the fund of funds policy? With the appropriate metric, it is possible to draw a minimum spanning tree (MST) to emphasize the similarity structure that could be hidden in raw correlation matrix of HF returns.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
