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

September 16, 2013


Abstract:     
Hedge fund managers preferentially seek to maintain low systematic risk across market states, forgoing potential market timing opportunities, but do increase systematic risk in response to increasing correlation risk. Better educated and more experienced managers have greater skill in managing low systematic risk and this ability is more pronounced during down markets. Investors recognize skill in managing systematic and correlation risk and reward funds with persistently low risks with incremental flows. Funds appear to preferentially time fee increases to coincide with decreases in systematic and correlation risk. These higher costs are offset for investors by the superior performance of the funds.

Number of Pages in PDF File: 63

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

JEL Classification: G11, G14, G23, G32

working papers series


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Date posted: October 30, 2012 ; Last revised: September 17, 2013

Suggested Citation

Namvar, Ethan and Phillips, Blake and Pukthuanthong, Kuntara and Rau, P. Raghavendra, Do Hedge Funds Dynamically Manage Systematic Risk? (September 16, 2013). 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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