Evaluation of Intelligent Quantitative Hedge Fund Management

Abstract

This paper examines an intelligent recommendation strategy implementation for managing a long short hedge fund and reports on performance during market conditions at the onset of the liquidity crisis. A hedge fund utilizes long and short trading to manage an investment portfolio consisting of allocations to cash and share equity positions. This results in a combined long short portfolio that is leveraged to obtain a potentially greater market exposure with borrowed cash from short selling and is also hedged to protect against market downturns. The paper also examines effects of parameters for fuzzy rule base specification on trading performance.