Minimum market transparency requirements impose Hedge Fund (HF) managers to 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 strategy be 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 fund of funds diversification / Miceli, Maria Augusta; G., Susinno. - In: PHYSICA. A. - ISSN 0378-4371. - Volume 344, Issues 1-2:(2004), pp. 95-99. [10.1016/j.physa.2004.06.094]
Ultrametricity in fund of funds diversification
MICELI, Maria Augusta;
2004
Abstract
Minimum market transparency requirements impose Hedge Fund (HF) managers to 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 strategy be 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.
