Abstract

http://ssrn.com/abstract=1017299
 
 

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Measuring Risk in the Hedge Fund Sector


Tobias Adrian


Federal Reserve Bank of New York


Current Issues in Economics and Finance, Vol. 13, No. 3, March/April 2007

Abstract:     
Recent high correlations among hedge fund returns could suggest concentrations of risk comparable to those preceding the hedge fund crisis of 1998. A comparison of the current rise in correlations with the elevation before the 1998 event, however, reveals a key difference. The current increase stems mainly from a decline in the volatility of returns, while the earlier rise was driven by high covariances - an alternative measure of comovement in dollar terms. Because volatility and covariances are lower today, the current hedge fund environment differs from the 1998 environment.

Number of Pages in PDF File: 7

Keywords: hedge funds, systemic risk, LTCM crisis

JEL Classification: G0, G1, G2, G3

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Date posted: September 27, 2007  

Suggested Citation

Adrian, Tobias, Measuring Risk in the Hedge Fund Sector. Current Issues in Economics and Finance, Vol. 13, No. 3, March/April 2007. Available at SSRN: http://ssrn.com/abstract=1017299

Contact Information

Tobias Adrian (Contact Author)
Federal Reserve Bank of New York ( email )
33 Liberty Street
New York, NY 10045
United States
HOME PAGE: http://nyfedeconomists.org/adrian/
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