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Using a Bayesian time‐varying beta model, we explore how the systematic risk exposures of hedge funds vary over time conditional on some exogenous variables that managers are assumed to use in changing their trading strategies. In such a setting, we impose a structure on fund returns, betas...
Persistent link: https://www.econbiz.de/10013116243
This paper demonstrates that liquidity risk as measured by the covariation of fund returns with unexpected changes in aggregate liquidity is an important predictor of hedge-fund performance. The results show that funds that significantly load on liquidity risk subsequently outperform low-loading...
Persistent link: https://www.econbiz.de/10013121145
This paper demonstrates that liquidity risk as measured by the covariation of fund returns with unexpected changes in aggregate liquidity is an important determinant in the cross- section of hedge-fund returns. The results show that funds that significantly load on liquidity risk subsequently...
Persistent link: https://www.econbiz.de/10013066897
In this paper, I review hedge fund risk using various commonly used measures including market betas, correlations, and porfolio drawdowns. We see a picture emerge that shows hedge funds have historically hedged a fair degree of systematic market risk, especially in the early years, offering...
Persistent link: https://www.econbiz.de/10013241510
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We measure the total-risk-adjusted (as opposed to factor-risk-adjusted) performance of hedge fund indices in well-diversified portfolios. Alpha is defined as the difference between, on the one hand, the average return on a mean-variance efficient portfolio containing exclusively traditional...
Persistent link: https://www.econbiz.de/10008939533
The chapter analyses how Bernard Madoff's Ponzi scheme was uncovered by Harry Markopolos, an employee of Rampart Investment Management, LLC, and the contribution of so-called epistemic virtues to Markopolos' success. After Rampart had informed the firm about an allegedly highly successful hedge...
Persistent link: https://www.econbiz.de/10013010158
We develop a new methodology to analyse the dynamics of liquidation risk dependence in the hedge funds industry. This dependence results either from a common exogenous factor, or from conta- gion phenomena caused by an endogenous behaviour of fund managers. Our empirical analysis shows that the...
Persistent link: https://www.econbiz.de/10013036135
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