Changes in the Factor Exposures of Hedge Funds

Topics:
Investment and Capital Markets
Tags:
Exposure,
Finance,
Financial Services,
Hedge Fund,
Investment,
London Business School
Source:
London Business School

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Overview: This paper seeks to shed light on the factor exposure of hedge funds by examining the loading of the returns of a sample of hedge funds on a number of explanatory factors. It will look both at a fund's average exposure to different factors and then examine how the exposure varies across time. It will look at these changing exposures for individual funds and examine how far funds make parallel changes in their positions. The paper is organized as follows. Section II reviews the literature and Section III provides a description of our methodology and a discussion of our empirical results. Section IV summarizes and concludes the paper.

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Format: PDF | Size: 114KB | Date: Jan 2001 | Pages: 30

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