Time Varying Exposures and Leverage in Hedge Funds
14 Pages Posted: 19 Oct 2009 Last revised: 9 Mar 2012
Date Written: March 1, 2005
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: Suggested Citation