On the High Frequency Dynamics of Hedge Fund Risk Exposures

Patton, Andrew and Ramadorai, Tarun (2013) On the High Frequency Dynamics of Hedge Fund Risk Exposures. Journal of Finance, 68 (2). pp. 597-635.


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.

Item Type: Article
Keywords: hedge funds; risk; finance
Subject(s): Finance
Date Deposited: 25 Apr 2013 13:32
Last Modified: 29 Nov 2018 12:11
Funders: N/A
URI: http://eureka.sbs.ox.ac.uk/id/eprint/4616

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