Time-varying exposures and leverage in hedge funds

Patrick McGuire, Eli Remolona and Kostas Tsatsaronis ()

BIS Quarterly Review, 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.

JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:bis:bisqtr:0503f

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