Abstract
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
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
