Hedge Fund Styles and Macroeconomic Uncertainty

This paper examines the dynamic trading strategies implemented by hedge fund managers using a Kalman filter of hedge fund betas across styles.

Author(s):

Marie Lambert

University of Liège, HEC Liège
Research Associate, EDHEC-Risk Institute

Federico Platania

Pôle Universitaire Léonard de Vinci, Paris-La Défense

This paper examines the dynamic trading strategies implemented by hedge fund managers using a Kalman filter of hedge fund betas across styles.

Type: Working paper
Date: le 11/09/2017
Research Cluster : Finance

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