On the High-Frequency Dynamics of Hedge Fund Risk Exposures

• 成果类型: Article
• 署名作者: Patton, Andrew J.; Ramadorai, Tarun
• 署名单位: Duke University; University of Oxford; University of Oxford
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12008
• 发表日期: 2013
• 页码: 597-635
• 关键词: TIMING ABILITY; Mutual funds; performance; MARKET; returns; volatility; ALPHAS; persistence; benchmarks; strategies

摘要

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.