Assessing Market Risk for Hedge Funds and Hedge Funds Portfolios

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2001 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

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Authors: FRANÇOIS‐SERGE LHABITANT;

doi: 10.2139/ssrn.268527 , 10.1108/eb043472

Assessing Market Risk for Hedge Funds and Hedge Funds Portfolios

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Abstract

The author suggests an empirical model to analyze the investment style of individual hedge funds and fund of funds. This approach is based on a mixture of the style analysis approach suggested by Sharpe [1988], the factor push approach used in stress testing, and historical simulation. The parameter estimates from this model are inputs in the Value‐at‐Risk analysis for a sample of 2,934 funds over the 1994–2000 period. The in‐sample and out‐of‐sample results suggest that the proposed approach is useful and may constitute a valuable tool for assessing the investment style and risk of hedge funds.

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