RT Journal Article SR Electronic T1 Hedge Funds—Risk Exposure in Different Quantiles
and Market Sentiments JF The Journal of Investing FD Institutional Investor Journals SP 107 OP 134 DO 10.3905/joi.2013.22.3.107 VO 22 IS 3 A1 Stein Frydenberg A1 Oddvar Hallset Reiakvam A1 Stian Borgen Thyness A1 Sjur Westgaard YR 2013 UL https://pm-research.com/content/22/3/107.abstract AB 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