The Structural Style Drift Score and the Global Style Drift Score: Two Style Drift Indicators for Hedge Funds
Orion Financial Partners
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: G23working papers series
Date posted: April 21, 2006
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