This paper examines the extent to which idiosyncratic risk measures explain cross-sectional differences in hedge fund … momentum effects. Idiosyncratic risk is a powerful factor in explaining the cross-sectional variation in hedge fund returns …

Using a novel dataset on correlation swaps, we study the relation between correlation risk, hedge fund characteristics … and their risk-return profile. We find that hedge funds' ability to create market neutral returns is often associated with … a significant exposure to correlation risk, which helps to explain the large abnormal returns found in previous models …

Bank represent a risk factor for the hedge fund industry as a whole and for ten commonly used strategies in particular …. Using modified event studies and Markov switching models, we find that UMP announcements represent a risk factor for … through breaks in the parameters of the conventional risk factors. Using Chow and Bai-Perron tests, we find that for the …

In this paper, we are examining hedge funds risk and return profile for the period 1998 to 2003. The large range in …