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- W2116627897 abstract "Recent high correlations among hedge fund returns could suggest concentrations of risk comparable to those preceding the hedge fund crisis of 1998. A comparison of the current rise in correlations with the elevation before the 1998 event, however, reveals a key difference. The current increase stems mainly from a decline in the volatility of returns, while the earlier rise was driven by high covariances - an alternative measure of comovement in dollar terms. Because volatility and covariances are lower today, the current hedge fund environment differs from the 1998 environment." @default.
- W2116627897 created "2016-06-24" @default.
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- W2116627897 date "2007-09-27" @default.
- W2116627897 modified "2023-09-23" @default.
- W2116627897 title "Measuring Risk in the Hedge Fund Sector" @default.
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