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Hedge Fund Market Risk Exposures: A Survey

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  • Marie Lambert

Abstract

This paper reviews the literature on Hedge Fund performance attribution. Hedge Funds follow very dynamic and leveraged strategies and invest massively in derivatives and illiquid securities. Consequently, these funds present linear but also non-linear relationships with market indexes. The article investigates the risk factors that have been used to capture the linear and non-linear comovements of Hedge Fund returns with passive indexes. The review especially discusses the significance of adding option-like or distribution-based factors to benchmark models. It moreover supports the evidence that multi-moment risk premiums could considerably improve the models traditionally used to evaluate Hedge Funds.

Suggested Citation

  • Marie Lambert, 2012. "Hedge Fund Market Risk Exposures: A Survey," Finance, Presses universitaires de Grenoble, vol. 33(1), pages 39-78.
    • Handle: RePEc:cai:finpug:fina_331_0039
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