Hedge Fund Return Correlation under Extreme Market Condition
How dependent are returns across hedge fund investment strategies? We estimate the probability that each investment strategy performs poorly when other investment strategies are delivering extreme negative returns. Under extreme market conditions, we find that event driven, distressed debt, and equi...
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2012
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| Online Access: | https://ink.library.smu.edu.sg/bnp_research/28 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1025&context=bnp_research |
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| Institution: | Singapore Management University |
| Language: | English |
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