Time-varying exposures and leverage in hedge funds
Eli Remolona () and
Kostas Tsatsaronis ()
BIS Quarterly Review, 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.
JEL-codes: G11 G12 (search for similar items in EconPapers)
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