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The Journal of Wealth Management

The Journal of Wealth Management

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Article

Hedge Fund Strategies and Time-Varying Alphas and Betas

Stein Frydenberg, Kjartan Hrafnkelsson, Vegard Strand Bromseth and Sjur Westgaard
The Journal of Wealth Management Spring 2017, 19 (4) 44-60; DOI: https://doi.org/10.3905/jwm.2017.19.4.044
Stein Frydenberg
is an associate professor at Trondheim Business School, Norwegian University of Science and Technology in Trondheim, Norway. stein.frydenberg@ntnu.no
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Kjartan Hrafnkelsson
is a research assistant at Trondheim Business School, Norwegian University of Science and Technology in Trondheim, Norway. kjartan.hra@gmail.com
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Vegard Strand Bromseth
is an assurance associate at PwC Trondheim in Trondheim, Norway. strand.vegard@gmail.com
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Sjur Westgaard
is a professor at Trondheim Business School, Norwegian University of Science and Technology in Trondheim, Norway. sjur.westgaard@iot.ntnu.no
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Abstract

This article compares the time-varying estimates of alphas and betas for hedge funds in bear and bull market periods. The time-varying models show that most hedge fund strategies vary their beta risk exposure in accordance with changing market conditions. Most strategies display significant positive alphas for the whole period, but none generates significant alpha in the combined bear periods. The authors also investigate a set of other beta risk factors and find that these risk factors are more significant in bull periods. Hence, in bull periods, they are able to identify a set of risk factors for hedge fund strategies, while the picture is less clear for the exposure in bear periods. However, many strategies seem to be positively correlated with the return on high-yield bonds.

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The Journal of Wealth Management: 19 (4)
The Journal of Wealth Management
Vol. 19, Issue 4
Spring 2017
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Hedge Fund Strategies and Time-Varying Alphas and Betas
Stein Frydenberg, Kjartan Hrafnkelsson, Vegard Strand Bromseth, Sjur Westgaard
The Journal of Wealth Management Jan 2017, 19 (4) 44-60; DOI: 10.3905/jwm.2017.19.4.044

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Hedge Fund Strategies and Time-Varying Alphas and Betas
Stein Frydenberg, Kjartan Hrafnkelsson, Vegard Strand Bromseth, Sjur Westgaard
The Journal of Wealth Management Jan 2017, 19 (4) 44-60; DOI: 10.3905/jwm.2017.19.4.044
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