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- W68578360 abstract "Since it is well known that hedge fund returns exhibit non-linear option-like exposures to standard asset classes, traditional linear factor models offer limited help in capturing the risk-return tradeoffs offered by hedge funds. This paper employs a combination of passive buy-and-hold strategies and option-based strategies to characterize the risks of different hedge fund strategies. Although, in practice, these hedge funds can follow a myriad of dynamic trading strategies, we find that adding a few simple option writing/buying strategies to the linear multi-factor model enables us to capture a significant proportion of the variation in the hedge fund returns over time. We verify the ability of our approach to capture important hedge fund risk exposures by conducting out-of-sample analysis. Our approach can provide valuable insights into the nature of risks involved in investing in different hedge fund strategies." @default.
- W68578360 created "2016-06-24" @default.
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- W68578360 date "2001-01-01" @default.
- W68578360 modified "2023-09-23" @default.
- W68578360 title "Intertemporal Variation in the Performance of Hedge Funds Employing a Contingent-Claim-Based Benchmark" @default.
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- W68578360 doi "https://doi.org/10.2139/ssrn.264766" @default.
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