Hedge Fund Risk Dynamics: Implications for Performance Appraisal
指出对冲基金经理会灵活调整资产和杠杆，若用固定风险暴露模型评估绩效会出错，作者用最优变点回归法分析1994-2005年存活和倒闭基金数据，展示了动态风险暴露对绩效评估的影响。
ABSTRACT Accurate appraisal of hedge fund performance must recognize the freedom with which managers shift asset classes, strategies, and leverage in response to changing market conditions and arbitrage opportunities. The standard measure of performance is the abnormal return defined by a hedge fund's exposure to risk factors. If exposures are assumed constant when, in fact, they vary through time, estimated abnormal returns may be incorrect. We employ an optimal changepoint regression that allows risk exposures to shift, and illustrate the impact on performance appraisal using a sample of live and dead funds during the period January 1994 through December 2005.