Unbundling Common Style Exposures, Time Variance and Style Timing of Hedge Fund Beta

Journal of Asset Management, Vol. 11, No. 1, pp. 19-30, April 2010

Posted: 7 Oct 2008 Last revised: 2 Oct 2012

Martos Rodrigo Dupleich Ulloa

Independent

Daniel Giamouridis

Bank of America - Bank of America Merrill Lynch; Athens University of Economics and Business; City University London - Cass Business School - Faculty of Finance; EDHEC Risk Institute

Spyros Mesomeris

Deutsche Bank AG (London)

Nima Noorizadeh

Citigroup, Inc.

Date Written: October 6, 2008

Abstract

This article is concerned with the systematic exposures of equity hedge fund managers. In particular we seek common equity hedge fund systematic exposures through rigorous model selection techniques. We study their time variance to examine if equity hedge fund style characteristics are stable through time. Most importantly, we explore the informational role of manager decisions to shift their exposures to certain styles. Our results suggest that equity fund managers are exposed to three dominant style strategies, namely the 'market', 'value' and 'momentum'. We also discover that there is a considerable degree of variability in the factor exposures over time for the various dominant sources of systematic risk/return. Finally, we show evidence that managers vary their exposures to the 'market' in time to exploit favourable market moves. A similar pattern is however not observed for their 'value' or 'momentum' exposures.

Suggested Citation

Dupleich Ulloa, Martos Rodrigo and Giamouridis, Daniel and Mesomeris, Spyros and Noorizadeh, Nima, Unbundling Common Style Exposures, Time Variance and Style Timing of Hedge Fund Beta (October 6, 2008). Journal of Asset Management, Vol. 11, No. 1, pp. 19-30, April 2010. Available at SSRN: https://ssrn.com/abstract=1279651

Martos Rodrigo Dupleich Ulloa

Independent ( email )

No Address Available

Daniel Giamouridis (Contact Author)

Bank of America - Bank of America Merrill Lynch ( email )

United Kingdom

Athens University of Economics and Business ( email )

Department of Accounting and Finance
Greece

City University London - Cass Business School - Faculty of Finance ( email )

London, EC2Y 8HB
Great Britain

EDHEC Risk Institute ( email )

Lille
France

Spyros Mesomeris

Deutsche Bank AG (London) ( email )

Winchester House
1 Great Winchester Street
London, EC2N 2DB
United Kingdom

Nima Noorizadeh

Citigroup, Inc. ( email )

399 Park Avenue
6th Floor
New York, NY 10043
United States

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