In this paper, we introduce an approach to building classifiers that bifurcate hedge funds into systematic and discretionary funds and evaluate their performance. This approach makes use of textual analysis and statistical learning methods that are free from the subjective judgment of investment...

We propose a new robust hypothesis test for (possibly non‐linear) constraints on M‐estimators with possibly non‐differentiable estimating functions. The proposed test employs a random normalizing matrix computed from recursive M‐estimators to eliminate the nuisance parameters arising...