RT Journal Article
SR Electronic
T1 Hedge Fund Strategies and Time-Varying Alphas and Betas
JF The Journal of Wealth Management
FD Institutional Investor Journals
SP 44
OP 60
DO 10.3905/jwm.2017.19.4.044
VO 19
IS 4
A1 Stein Frydenberg
A1 Kjartan Hrafnkelsson
A1 Vegard Strand Bromseth
A1 Sjur Westgaard
YR 2017
UL https://pm-research.com/content/19/4/44.abstract
AB 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.TOPICS: Real assets/alternative investments/private equity, financial crises and financial market history, risk management, performance measurement