TY - JOUR T1 - Hedge Funds—Risk Exposure in Different Quantiles<br/>and Market Sentiments JF - The Journal of Investing SP - 107 LP - 134 DO - 10.3905/joi.2013.22.3.107 VL - 22 IS - 3 AU - Stein Frydenberg AU - Oddvar Hallset Reiakvam AU - Stian Borgen Thyness AU - Sjur Westgaard Y1 - 2013/08/31 UR - https://pm-research.com/content/22/3/107.abstract N2 - This article finds the risk factors which are affecting the high, medium and low returns of different hedge fund strategies in both bear and bull equity markets. We are modeling the non-linear sensitivities and distribution characteristic for different hedge fund strategies. Our findings are relevant for hedge fund investors, who want to know the risk exposure for high return versus low return hedge funds and how these risk factors’ coefficient changes over the return distributions.TOPICS: Portfolio theory, portfolio construction ER -