We study the effect of financial crises on hedge fund risk. Using a regime-switching beta model, we separate systematic and idiosyncratic components of hedge fund exposure. The systematic exposure to various risk factors is conditional on market volatility conditions. We find that in the...

This paper examines four different daily datasets of hedge fund return indexes: MSCI, FTSE, Dow Jones and HFRX, all based on investable hedge funds, and three different monthly datasets of hedge fund return indexes: CSFB, CISDM and HFR which comprise both investable and non-investable hedge...