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The Impact of Quantitative Methods on Hedge Fund Performance

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  • Ludwig Chincarini

Abstract

In the last 20 years, the amount of assets managed by quantitative and qualitative hedge funds have grown dramatically. We examine the difference between quantitative and qualitative hedge funds in a variety of ways, including management differences and performance differences. We find that both quantitative and qualitative hedge funds have positive risk†adjusted returns. We also find that overall, quantitative hedge funds as a group have higher αs than qualitative hedge funds. The outperformance might be as high as 72 bps per year when considering all risk factors. We also suggest that this additional performance may be due to better timing ability.

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  • Ludwig Chincarini, 2014. "The Impact of Quantitative Methods on Hedge Fund Performance," European Financial Management, European Financial Management Association, vol. 20(5), pages 857-890, November.
    • Handle: RePEc:bla:eufman:v:20:y:2014:i:5:p:857-890
    DOI: 10.1111/eufm.12035
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    Cited by:

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    3. Baibing Li & Ji Luo & Kai†Hong Tee, 2017. "The Market Liquidity Timing Skills of Debt†oriented Hedge Funds," European Financial Management, European Financial Management Association, vol. 23(1), pages 32-54, January.

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