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- W3124197837 abstract "Using a variety of different definitions of “neutrality,” this study presents significant evidence against the neutrality to market risk of hedge funds in a range of style categories. I generalize standard definitions of “market neutrality,” and propose five different neutrality concepts. I suggest statistical tests for each neutrality concept, and apply these tests to a database of monthly returns on 1423 hedge funds from five style categories. For the “market neutral” style, approximately one-quarter of the funds exhibit significant exposure to market risk; this proportion is statistically significantly different from zero, but less than the proportion of significant exposures for other hedge fund styles." @default.
- W3124197837 created "2021-02-01" @default.
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- W3124197837 date "2008-12-24" @default.
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- W3124197837 title "Are “Market Neutral” Hedge Funds Really Market Neutral?" @default.
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- W3124197837 doi "https://doi.org/10.1093/rfs/hhn113" @default.
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