Abstract

http://ssrn.com/abstract=2168785
 
 

References (41)



 
 

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Do Hedge Funds Dynamically Manage Systematic Risk?


Ethan Namvar


University of California, Berkeley - Haas School of Business

Blake Phillips


University of Waterloo

Kuntara Pukthuanthong


University of Missouri, Columbia

P. Raghavendra Rau


University of Cambridge; UC Berkeley - Haas School of Business

July 27, 2014


Abstract:     
Defining systematic risk management (SRM) skill as persistently low fund systematic risk, we find evidence of time varying allocation of hedge fund management effort across the business cycle. In weak market states, skilled managers focus on minimization of systematic risk via dynamic reallocations across asset classes at the cost of fund alpha and foregoing market timing opportunities. As markets strengthen, attention shifts to asset selection within consistent asset classes. The superior performance of low systematic risk funds previously documented arises due to the superior asset selection ability of managers that jointly possess SRM skill. Incremental allocations by investors arise due to this superior performance and not due to recognition of SRM skill.

Number of Pages in PDF File: 47

Keywords: Hedge Funds, Alternative Investments, Correlation Risk, Systematic Risk

JEL Classification: G11, G14, G23, G32

working papers series


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Date posted: October 30, 2012 ; Last revised: July 30, 2014

Suggested Citation

Namvar, Ethan and Phillips, Blake and Pukthuanthong, Kuntara and Rau, P. Raghavendra, Do Hedge Funds Dynamically Manage Systematic Risk? (July 27, 2014). Available at SSRN: http://ssrn.com/abstract=2168785 or http://dx.doi.org/10.2139/ssrn.2168785

Contact Information

Ethan Namvar
University of California, Berkeley - Haas School of Business ( email )
545 Student Services Building
Berkeley, CA 94720
United States
510-642-7989 (Phone)
HOME PAGE: http://haas.berkeley.edu
Blake Phillips (Contact Author)
University of Waterloo ( email )
Waterloo, Ontario N2L 3G1
Canada
Kuntara Pukthuanthong
University of Missouri, Columbia ( email )
Robert J. Trulaske, Sr. College of Business
403 Cornell Hall
Columbia, MO 65211
United States
6198076124 (Phone)
P. Raghavendra Rau
University of Cambridge ( email )
Cambridge Judge Business School
Trumpington Street
Cambridge, Cambridgeshire CB21AG
United Kingdom
3103626793 (Phone)
HOME PAGE: http://www.jbs.cam.ac.uk/research/faculty/rau.html
UC Berkeley - Haas School of Business ( email )
Haas School of Business
545 Student Services Building
Berkeley, CA 94720
United States
3103626793 (Phone)
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