On the High‐Frequency Dynamics of Hedge Fund Risk Exposures

  • Published: Mar 07, 2013
  • Pages: 597-635
  • DOI: 10.1111/jofi.12008


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.

Jump to menu

Main Navigation

Search the Site / Journal

Search Keywords

Search Tips

Members' Login


Members' Options

Site Footer

View Mobile Version