Abstract

http://ssrn.com/abstract=896680
 
 

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The Structural Style Drift Score and the Global Style Drift Score: Two Style Drift Indicators for Hedge Funds


Guillaume Monarcha


Orion Financial Partners

March 2006


Abstract:     
Style drift in hedge funds strategies is a major source of concern for hedge funds investors. Actually, how can investors implement a robust risk management policy when the structure of the risk exposures is likely to evolve on a discretionary basis? So as to identify such changes, we develop two style drift indicators dedicated to hedge funds. The structural style drift score is designed to identify changes in the risk structure of hedge funds whereas the aim of the global style drift score is to identify changes in their global risk level.

Number of Pages in PDF File: 23

Keywords: hedge funds, Kalman filter, style drift, style analysis

JEL Classification: G23

working papers series


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Date posted: April 21, 2006  

Suggested Citation

Monarcha, Guillaume, The Structural Style Drift Score and the Global Style Drift Score: Two Style Drift Indicators for Hedge Funds (March 2006). Available at SSRN: http://ssrn.com/abstract=896680 or http://dx.doi.org/10.2139/ssrn.896680

Contact Information

Guillaume Monarcha (Contact Author)
Orion Financial Partners ( email )
54-56 avenue Hoche
Paris, 75008
France
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