Return-based classification of absolute return funds

• Published in: Journal of asset management Vol. 16; no. 2; pp. 117 - 130
• Main Authors: Gerlach, Philipp, Maurer, Raimond
• Format: Journal Article
• Language: English
• Published: London Palgrave Macmillan UK 01.03.2015; Palgrave Macmillan
• Subjects: Asset allocation; Classification; Councils; Economics and Finance; Equity funds; Euromarkets; Finance; Financial Services; Hedge funds; Investment advisors; Investment policy; Money markets; Mutual funds; Original Article; Portfolio management; Reimbursement; Retroaction; Return on investment; Risk Management; State employees; Stock exchanges; Studies; Europe; style analysis; return-based classification; absolute return funds

We apply a return-based classification approach on a sample of absolute return funds registered for sale in Europe. The classification process results in eight groups with specific risk and return profiles. Each group can be characterized by two dimensions of an underlying investment style: asset al...