We propose a new method to model hedge fund risk exposures using relatively high frequency conditioning variables. In a large sample of funds, we find substantial evidence that hedge fund risk exposures vary across and within months, and that capturing within-month variation is more important for hedge funds than for mutual funds. We consider different within-month functional forms, and uncover patterns such as day-of-the-month variation in risk exposures. We also find that changes in portfolio allocations, rather than changes in the risk exposures of the underlying assets, are the main drivers of hedge funds' risk exposure variation.
Andrew Patton, Tarun Ramadorai, Michael Streatfield, 9 April 2012In the wake of the financial crisis, the Securities and Exchange Commission proposed a rule requiring US-based...
CHICAGO, May 23, 2012 /PRNewswire/ -- The Harbor Funds Board of Trustees has appointed Causeway Capital Management LLC as subadviser to the Harbor Global Value Fund effec...
