A Longer Look at the Asymmetric Dependence between Hedge Funds and the Equity Market
研究了不同投资期限下对冲基金收益与市场收益之间的非对称依赖关系，发现随着期限延长，非对称程度减弱，对冲基金提供的分散化收益增加。
Abstract This paper reexamines, at a range of investment horizons, the asymmetric dependence between hedge fund returns and market returns. Given the current availability of hedge fund data, the joint distribution of longer-horizon returns is extracted from the dynamics of monthly returns using the filtered historical simulation; we then apply the method based on copula theory to uncover the dependence structure therein. While the direction of asymmetry remains unchanged, the magnitude of asymmetry is attenuated considerably as the investment horizon increases. Similar horizon effects also occur on the tail dependence. Our findings suggest that nonlinearity in hedge fund exposure to market risk is more short term in nature, and that hedge funds provide higher benefits of diversification, the longer the horizon.