Time Varying Exposures and Leverage in Hedge Funds

14 Pages Posted: 19 Oct 2009 Last revised: 9 Mar 2012

See all articles by Patrick McGuire

Patrick McGuire

Bank for International Settlements (BIS)

Eli M. Remolona

Bank for International Settlements (BIS) - Monetary and Economic Department

Kostas Tsatsaronis

Bank for International Settlements (BIS) - Monetary and Economic Department

Date Written: March 1, 2005

Abstract

Style analysis shows that as market conditions change so do the investment strategies of hedge funds. It also provides a simple indicator of hedge fund leverage that varies over time. The indicator suggests that leverage tended to be high in 1997-98 but lower more recently.

Keywords: hedge funds, leverage, style analysis

JEL Classification: G11, G12

Suggested Citation

McGuire, Patrick M. and Remolona, Eli M. and Tsatsaronis, Konstantinos, Time Varying Exposures and Leverage in Hedge Funds (March 1, 2005). BIS Quarterly Review, March 2005. Available at SSRN: https://ssrn.com/abstract=1491069

Patrick M. McGuire (Contact Author)

Bank for International Settlements (BIS) ( email )

CH-4002 Basel, Basel-Stadt
Switzerland

Eli M. Remolona

Bank for International Settlements (BIS) - Monetary and Economic Department ( email )

IFC 2 Bldg, 78/F
Central
Hong Kong
Hong Kong
+852 2982 7150 (Phone)
+852 2982 7123 (Fax)

Konstantinos Tsatsaronis

Bank for International Settlements (BIS) - Monetary and Economic Department ( email )

Centralbahnplatz 2
CH-4002 Basel
Switzerland
(41 61) 280 8082 (Phone)
(41 61) 280 9100 (Fax)

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