Performance and Style Shifts in the Hedge Fund Industry

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We suggest a performance attribution model which is adapted to the requirements of hedge funds by a set of styleconsistent benchmark indices obtained from a neural network based clustering procedure. We compare our approach with alternative models and analyze whether fund of hedge funds managers create added value. Employing factor loadingchanges  as a proxy for style changes, we show that style shifts are a characteristic feature of hedge funds and that style-consistency does not generally ameliorate performance. Finally, we demonstrate that while poor performers which change style can expect a subsequent performance improvement, the same does not hold for top performers.

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