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Hedge Fund Risk Dynamics: Implications for Performance Appraisal
Accurate appraisal of hedge fund performance must recognize the freedom with which managers shift asset classes, strategies, and leverage in response to changing market conditions and arbitrage opportunities. The standard measure of performance is the abnormal return defined by a hedge fund's e...
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| Published in: | The Journal of finance (New York) 2009-04, Vol.64 (2), p.985-1035 |
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| Main Authors: | , |
| Format: | Article |
| Language: | English |
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| cited_by | cdi_FETCH-LOGICAL-c5255-b4f3867b39a169a4e65bc8a49839442c01f0b8091736964b8e099b74ffd372fc3 |
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| cites | cdi_FETCH-LOGICAL-c5255-b4f3867b39a169a4e65bc8a49839442c01f0b8091736964b8e099b74ffd372fc3 |
| container_end_page | 1035 |
| container_issue | 2 |
| container_start_page | 985 |
| container_title | The Journal of finance (New York) |
| container_volume | 64 |
| creator | BOLLEN, NICOLAS P.B. WHALEY, ROBERT E. |
| description | Accurate appraisal of hedge fund performance must recognize the freedom with which managers shift asset classes, strategies, and leverage in response to changing market conditions and arbitrage opportunities. The standard measure of performance is the abnormal return defined by a hedge fund's exposure to risk factors. If exposures are assumed constant when, in fact, they vary through time, estimated abnormal returns may be incorrect. We employ an optimal changepoint regression that allows risk exposures to shift, and illustrate the impact on performance appraisal using a sample of live and dead funds during the period January 1994 through December 2005. |
| doi_str_mv | 10.1111/j.1540-6261.2009.01455.x |
| format | article |
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| fulltext | fulltext |
| identifier | ISSN: 0022-1082 |
| ispartof | The Journal of finance (New York), 2009-04, Vol.64 (2), p.985-1035 |
| issn | 0022-1082 1540-6261 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_37120871 |
| source | International Bibliography of the Social Sciences (IBSS); Wiley; JSTOR Archival Journals and Primary Sources Collection |
| subjects | Abnormal returns Arbitrage Critical values Fees Fund management Futures contracts Hedge funds Hedging Investment risk Investment trusts Modeling Mutual funds Null hypothesis Parametric models Performance appraisal Portfolio management Regression analysis Risk factors Risk management Stochastic models Studies |
| title | Hedge Fund Risk Dynamics: Implications for Performance Appraisal |
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