|
|
|
|
||||
|
||||
On the High-Frequency Dynamics of Hedge Fund Risk ExposuresAndrew J. PattonDuke University - Department of Economics; University of Oxford - Oxford-Man Institute of Quantitative Finance Tarun RamadoraiUniversity of Oxford - Said Business School; University of Oxford - Oxford-Man Institute of Quantitative Finance; Centre for Economic Policy Research (CEPR) December 14, 2011 Abstract: We propose a new method to model hedge fund risk exposures using relatively high frequency conditioning variables. In a large sample of funds, we find substantial evidence that hedge fund risk exposures vary across and within months, and that capturing within-month variation is more important for hedge funds than for mutual funds. We consider different within-month functional forms, and uncover patterns such as day-of-the-month variation in risk exposures. We also find that changes in portfolio allocations, rather than changes in the risk exposures of the underlying assets, are the main drivers of hedge funds' risk exposure variation.
Number of Pages in PDF File: 62 Keywords: beta, time-varying risk, performance evaluation, window-dressing, hedge funds, mutual funds JEL Classification: G23, G11, C22 working papers seriesDate posted: June 29, 2011 ; Last revised: December 15, 2011Suggested CitationContact Information
|
|
|||||||||||||||||||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo4 in 0.641 seconds
