This paper examines asset allocation dynamics of hedge funds through conducting optimal change point test on an asset class factor model. Based on the average F-test and the Bayesian Information Criterion (BIC), we find that more dynamic hedge funds exhibit significantly better quality than less...

Hedge fund managers are largely free to pursue dynamic trading strategies and standard static performance appraisal is no longer accurate for evaluating hedge funds. Accordingly, this paper presents some new ways of analyzing hedge fund strategies following a dynamic linear regression model....

The asymmetric nature of performance-based compensation in hedge funds introduces a moral hazard problem in which investors bear the negative consequences of fund managers' risk choices. We analyze whether risk shifting by a hedge fund manager is related to the manager's investment strategy and...

In this paper we study hedge fund styles by examining both self-reported classification and a return-based classification on a sample of hedge funds over the period of 2005 to 2011. Using seven versions of the Lipper/TASS data, we are able to track self-reported classification on an annual...

Hedge fund managers are largely free to pursue dynamic trading strategies and standard linear regression is no longer accurate for measuring hedge fund abnormal return (alpha) and risk exposure (beta). Accordingly, this paper presents a dynamic linear model to capture hedge fund dynamics. By...