On the High‐Frequency Dynamics of Hedge Fund Risk Exposures
提出一种利用高频条件变量建模对冲基金风险暴露的新方法，发现其风险暴露在月内和月间均有显著变化，且月内变化比共同基金更重要，主要由投资组合调整驱动。
ABSTRACT We propose a new method to model hedge fund risk exposures using relatively high‐frequency conditioning variables. In a large sample of funds, we find substantial evidence that hedge fund risk exposures vary across and within months, and that capturing within‐month variation is more important for hedge funds than for mutual funds. We consider different within‐month functional forms, and uncover patterns such as day‐of‐the‐month variation in risk exposures. We also find that changes in portfolio allocations, rather than in the risk exposures of the underlying assets, are the main drivers of hedge funds' risk exposure variation.