Hedge Fund Risk Dynamics: Implications for Performance Appraisal

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On the High Frequency Dynamics of Hedge Fund Risk Exposures (2013, unknown): “As described above, we follow Bollen and Whaley (2009) and reduce the full seven-factor FungHsieh model, choosing a more parsimonious two-factor subset of these factors as the baseline static model.”
Hedge Fund Leverage (2011, unknown): “12 See, among many others, Fung and Hsieh (1997, 2001), Brown, Goetzmann and Ibbotson (1999), and more recently Bollen and Whaley (2009).”
Do Hedge Funds’ Exposures to Risk Factors Predict Their Future Returns? (2011, background): “We check whether this one-year gap generates a difference in returns between funds’ first year performance vs. the rest of period performance (the rest of period performance starts from the 13th month until either the fund is deceased or until the end of our sample December 2008).”
Do Hedge Fund Managers Misreport Returns? Evidence from the Pooled Distribution (2009, unknown): “A third possibility is that year-end effects of the type studied in Carhart et al. (2002) and Agarwal et al.”
The Skew Risk Premium in the Equity Index Market (2013, unknown): “It has been much discussed in hedge fund performance analysis (Bollen and Whaley (2009)).”