On the high-frequency dynamics of hedge fund risk exposures

Journal Article (Journal Article)

We propose a new method to model hedge fund risk exposures using relatively high-frequency conditioning variables. In a large sample of funds, we find substantial evidence that hedge fund risk exposures vary across and within months, and that capturing within-month variation is more important for hedge funds than for mutual funds. We consider different within-month functional forms, and uncover patterns such as day-of-the-month variation in risk exposures. We also find that changes in portfolio allocations, rather than in the risk exposures of the underlying assets, are the main drivers of hedge funds' risk exposure variation. © 2013 the American Finance Association.

Full Text

Duke Authors

Cited Authors

  • Patton, AJ; Ramadorai, T

Published Date

  • April 1, 2013

Published In

Volume / Issue

  • 68 / 2

Start / End Page

  • 597 - 635

Electronic International Standard Serial Number (EISSN)

  • 1540-6261

International Standard Serial Number (ISSN)

  • 0022-1082

Digital Object Identifier (DOI)

  • 10.1111/jofi.12008

Citation Source

  • Scopus