Unbundling common style exposures, time variance and style timing of hedge fund beta

Rodrigo Dupleich, Daniel Giamouridis (), Spyros Mesomeris and Nima Noorizadeh
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Daniel Giamouridis: Athens University of Economics and Business

Journal of Asset Management, 2010, vol. 11, issue 1, No 2, 19-30

Abstract: Abstract This article is concerned with the systematic exposures of equity hedge fund managers. In particular, we seek common systematic exposures of equity hedge funds through rigorous model selection techniques. We study their time variance to determine whether the style characteristics of equity hedge funds are stable over time. Most importantly, we explore the informational role of manager decisions in shifting their exposures to certain styles. Our results suggest that equity fund managers are exposed to three dominant style strategies, namely, ‘market’, ‘value’ and ‘momentum’. We also discover that there is a considerable degree of variability in the factor exposures over time for the various dominant sources of systematic risk/return. Finally, we provide evidence that managers vary their exposures to the ‘market’ in time to exploit favourable market moves. However, a similar pattern is not observed for their ‘value’ or ‘momentum’ exposures.

Keywords: hedge funds; style exposures; exposure selection; style timing; market timing (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:pal:assmgt:v:11:y:2010:i:1:d:10.1057_jam.2010.2

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DOI: 10.1057/jam.2010.2

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