This thesis examines the degree to which alternative funds deviate from their style-benchmark and how this is related to past performance and fund size, and how it impacts future risk and returns. Additionally the thesis examines how security selection and market timing skills differ across varying degrees of deviation from the benchmark. The thesis uses data for hedge funds, funds of funds, and CTA funds from the Center for International Securities and Derivatives Markets and employs fund???s tracking error relative to their style-benchmark to estimate the level of drift. The style-benchmarks used are the median return for all reporting funds that follow a particular style and funds are assigned a benchmark based on their self-reported style. First, this thesis documents statistically significant differences in the tracking errors of portfolios of funds with the highest tracking error versus funds with the lowest tracking error, implying that some managers drift from their self-reported style-benchmarks. Second, funds??? benchmark-inconsistency is less severe in the case of funds that have a regulatory obligation to disclose their performance, suggesting that the absence of regulation fosters an environment where managers can be more flexible with their investment approach. Third, the tendency to drift from the benchmark is most prevalent amongst funds with superior past performance as well as small funds. Fourth, future total portfolio risk increases as funds display more benchmarkinconsistency, suggesting that managers adopt riskier strategies as they attempt to enhance returns. Fifth, the thesis demonstrates that CTA funds that display drift from their benchmark produce higher absolute and relative returns in subsequent periods regardless of the direction of the general market. In contrast, the findings show for hedge funds and funds of funds, benchmark-inconsistent funds are likely to outperform in bull markets and underperform in bear markets. Finally, this thesis shows that more benchmark-consistent managers have better security selection skill. The main contribution of this thesis is in identifying the group of hedge funds, funds of funds, and CTA funds that are likely to deviate from their self-reported style-benchmark and the risk-return consequences of such deviations. The findings have implications for investors and regulators.

Thesis (M.S.)--Missouri University of Science and Technology, 2008. / Vita. The entire thesis text is included in file. Title from title screen of thesis/dissertation PDF file (viewed April 29, 2008) Includes bibliographical references (p. 53-55).

Thesis (M.B.A.) -- University of Adelaide, Faculty of Economics, 1982. / "July 1982." Bibliography: leaves 177-186.

Thesis (Ph.D.)--University of Western Australia, 2006.

Thesis (Ph. D.)--State University of New York at Binghamton, School of Management, 2008. / Includes bibliographical references.

Thesis (Ph. D.)--Florida State University, 2004. / Advisor: Dr. David R. Peterson, Florida State University, College of Business, Dept. of Finance. Title and description from dissertation home page (viewed Sept. 27, 2004). Includes bibliographical references.

Thesis (M. Phil.)--University of Hong Kong, 2000. / Includes bibliographical references (leaves 87-91).

Thesis (Ph. D.)--University of Chicago, Dept. of Economics. / Includes bibliographical references. Also available on the Internet.

Thesis (M.S.)--Missouri University of Science and Technology, 2010. / Vita. The entire thesis text is included in file. Title from title screen of thesis/dissertation PDF file (viewed June 7, 2010) Includes bibliographical references (p. 75).

Thesis (M. A.) -- Al Akhawayn University in Ifrane, 2008. / Includes bibliographical references.