by
William Fung*
David A. Hsieh**
August 1999
* Principal, Paradigm Financial Products.
** Professor of Finance, Fuqua School of Business, Duke University

格式：PDF      页码：38

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Abstract
In this paper, we provide a rationale for how hedge funds are organized and some insight on how hedge
fund performance differs from traditional mutual funds. Statistical differences among hedge fund styles
are used to supplement qualitative differences in the way hedge fund strategies are described. Risk
factors associated with different trading styles are discussed. We give examples where standard linear
statistical techniques are unlikely to capture the risk of hedge fund investments where the returns are
primarily driven by non-linear dynamic strategies.