Hedge Funds and Leverage Estimation

11 Pages Posted: 17 Jul 2012 Last revised: 26 Oct 2012

See all articles by Pierre Clauss

Pierre Clauss

Société Générale; Université d'Évry - Centre D'Etudes des Politiques Economiques et de L'Emploi (EPEE)

Date Written: October 24, 2012

Abstract

Leverage is an essential component of hedge funds industry and performance. Then we can propose a definition of hedge funds based on their use of leverage. Leverage could be of investment and derivatives. Most of the time, leverage is an information given by the funds managers themselves. But we cannot check it and have to trust hedge funds when they deign to give it. Using Sharpe regression style method (1992), we will extract, from prices only, a quantitative leverage measure, which reveals us the part of performance due to leverage.

Keywords: Hedge funds, Leverage, Regression style

Suggested Citation

Clauss, Pierre, Hedge Funds and Leverage Estimation (October 24, 2012). Available at SSRN: https://ssrn.com/abstract=2109601 or http://dx.doi.org/10.2139/ssrn.2109601

Pierre Clauss (Contact Author)

Société Générale ( email )

Université d'Évry - Centre D'Etudes des Politiques Economiques et de L'Emploi (EPEE) ( email )

Boulevard Francois Mitterrand
F-91025 Evry Cedex
France

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