Modeling the Risk Dynamics of Hedge Funds
Dimitrios Koutmos and
Journal of Finance and Investment Analysis, 2019, vol. 8, issue 1, 3
This paper investigates the risk dynamics of hedge fund index returns and the market timing abilities of hedge fund managers. The empirical evidence shows that the systematic risk of all hedge fund index returns are highly variable over time, implying that reported alpha returns as well as standard risk management metrics are unreliable. In almost all cases volatility is asymmetric and the range of estimated betas is rather large. The degree of persistence is also very high. The results show that both systematic and unsystematic risk of all hedge fund styles is time varying. Furthermore, there is no evidence of successful market timing. JEL classification numbers: G1, G11, G12, C5Keywords: Hedge Funs, Volatility Dynamics, Conditional Heteroscedasticity
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Persistent link: https://EconPapers.repec.org/RePEc:spt:fininv:v:8:y:2019:i:1:f:8_1_3
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