What Can Central Bankers Learn from Hedge Fund Replication Strategies?

David A. Hsieh
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David A. Hsieh: Fuqua School of Business, Duke University, USA

Chapter 22 in Globalization and Systemic Risk, 2009, pp 331-347 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionThe Sample of Large Hedge FundsStyle distribution of large fundsPrincipal component analysisA Simple 8-Factor Model of Hedge Fund RiskEquity factorsBond factorsTrend-following factorsEmerging market factorsExposures of Large Hedge Funds Using Monthly ReturnsThe effects of serial correlation in hedge fund returnsExposure of average hedge fundsCorroboration of Exposures Using Daily Investible IndicesConclusionReferences

Keywords: Globalization; Banking; Financial Markets; Systemic Risk; Financial Crisis; Contagion (search for similar items in EconPapers)
Date: 2009
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