What investment strategy is associated with having negative skewness and excess kurtosis, according to HFR Relative Value?

The investment strategy associated with having negative skewness and excess kurtosis is indeed the relative value multi-strategy fund. Negative skewness indicates that there is a higher probability of extreme negative returns compared to positive returns, suggesting that the strategy may face more frequent, severe losses. Excess kurtosis points to a distribution of returns that has heavier tails than a normal distribution, which can be indicative of the presence of substantial outlier events.

Relative value strategies frequently take advantage of pricing inefficiencies between related securities, and these strategies can often lead to higher risk profiles, resulting in the characteristics of negative skewness and excess kurtosis. Thus, this approach can capture both the opportunities and risks associated with mispricings in various markets, leading to the observed statistical features.

In contrast, long equity strategies typically rely on the upside potential of equities and are generally associated with positive skewness, while market timing strategies aim to predict the right moment to enter or exit positions, which may not consistently lead to the defined statistical characteristics. Income generation strategies, on the other hand, focus on delivering steady income through dividends or interest and are less likely to exhibit the pronounced risk features of negative skewness or excess kurtosis.