Stylistic Differences Across Hedge Funds As Revealed by Historical Monthly Returns (Scientific Research‪)‬

1. Introduction In a seminal paper, Sharpe [1] proposed an elegant asset class factor model for performance attribution and style analysis of mutual fund managers. The model shows that with only a limited number of asset classes, it is possible to replicate the performance of a large universe of mutual funds. The success of Sharpe's model in capturing stylistic differences between mutual fund managers is largely attributed to the fact that most mutual fund managers are typically constrained to hold assets from a well-defined number of standard asset classes and are expected to perform according to relative return targets within their asset classes.