Billio, Monica; Getmansky, Mila; Pelizzon, Loriana - School of Management, Yale University - 2008
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 … in a crisis state) most strategies are negatively and significantly exposed to the Large-Small and Credit Spread risk …