On the High-Frequency Dynamics of Hedge Fund Risk Exposures

Andrew Patton
Authors registered in the RePEc Author Service: Tarun Ramadorai

No 8479, CEPR Discussion Papers from Centre for Economic Policy Research

Abstract: We propose a new method to model hedge fund risk exposures using relatively high frequency conditioning variables. In a large sample of funds, we find substantial evidence that hedge fund risk exposures vary across and within months, and that capturing within-month variation is more important for hedge funds than for mutual funds. We consider different within-month functional forms, and uncover patterns such as day-of-the-month variation in risk exposures. We also find that changes in portfolio allocations, rather than changes in the risk exposures of the underlying assets, are the main drivers of hedge funds' risk exposure variation.

Keywords: Beta; Hedge funds; Mutual funds; Performance evaluation; Time-varying risk; Window-dressing (search for similar items in EconPapers)
JEL-codes: C22 G11 G23 (search for similar items in EconPapers)
Date: 2011-07
New Economics Papers: this item is included in nep-ban, nep-bec, nep-mst and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Journal Article: On the High-Frequency Dynamics of Hedge Fund Risk Exposures (2013)
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