publication . Article . Preprint . 2003

Ultrametricity in Fund of Funds Diversification

Susinno, Gabriele; Miceli, Maria Augusta;

Open Access

Published: 12 Dec 2003 Journal: SSRN Electronic Journal (eissn: 1556-5068,

Publisher: Elsevier BV

Summary

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 correl...

doi: 10.2139/ssrn.478341 , 10.1016/j.physa.2004.06.094

Subjects

free text keywords: Statistics and Probability, Condensed Matter Physics, Global macro, Actuarial science, Diversification (marketing strategy), Fund of funds, Minimum spanning tree, Hedge fund, business.industry, business, Transparency (graphic), Graph, Mathematics, Condensed Matter, Physics - Physics and Society

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