We examine whether time-variation in the profitability of momentum strategies is related to variation in macroeconomic conditions. We find reliable evidence that the momentum strategy exposes investors to greater downside risk. Momentum strategies deliver economically large and statistically...

This paper examines the extent to which idiosyncratic risk measures explain cross-sectional differences in hedge fund returns. Using exponential GARCH models to estimate conditional idiosyncratic volatility, we find a significant positive relation between conditional idiosyncratic volatility...