Patton, Andrew J; Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2011
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 … portfolio allocations, rather than changes in the risk exposures of the underlying assets, are the main drivers of hedge funds …