Research and publications
Hedge Fund Styles And Macroeconomic Uncertainty
This paper examines the dynamic trading strategies implemented by hedge fund managers using a Kalman filter of hedge fund betas across styles. We investigate the risk drivers of dynamic trades, exa ...
Author(s):
Marie Lambert, Federico Platania
Summary:
This paper examines the dynamic trading strategies implemented by hedge fund managers using a Kalman filter of hedge fund betas across styles. We investigate the risk drivers of dynamic trades, examining which conditioning/macroeconomic variables strongly lead time variation in fund trades. We show that hedge fund managers do control the intensity of their exposure to economic uncertainty and that differences between up- and down-market regimes can be observed.
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Register/Log in| Type : | Working paper |
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| Date : | 11/09/2016 |
| Keywords : |
Alternative Investments |
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