Are "Market Neutral" Hedge Funds Really Market Neutral?

111 citations recorded by the source corpus.

Citations in the corpus

Flights to Safety (2014, unknown): “It is well known that most hedge fund styles have positive market exposures (for example, see Asness et al. (2001) and Patton (2009) for market neutral funds).”
Systematic Risk and the Cross-Section of Hedge Fund Returns (2012, unknown): “In this paper, our focus is not 1 A partial list includes Fung and Hsieh (1997, 2000, 2001, 2004), Ackermann, McEnally, and Ravenscraft (1999), Liang (1999,2001), Mitchell and Pulvino (2001), Agarwal and Naik (2000,2004), Kosowski, Naik, a”
Do Hedge Funds’ Exposures to Risk Factors Predict Their Future Returns? (2011, unknown): “Another potential explanation can be based on the findings of Patton (2009) who proposes five different neutrality concepts (correlation, mean, variance, value-at-risk, and tail neutrality) and introduces statistical tests for each neutrality concept.”
On the High Frequency Dynamics of Hedge Fund Risk Exposures (2013, unknown): “A partial list includes Fung and Hsieh (1997, 2004a,b), Ackermann, McEnally and Ravenscraft (1999), Liang (1999), Agarwal and Naik (2004), Kosowski, Naik and Teo (2006), Agarwal et al. (2009), Chen and Liang (2007), Fung et al. (2008), Patton (2009), and Jagannathan, Malakhov, and Novikov (2010).”
A review of copula models for economic time series (2012, unknown): “A variety of different standard errors are computed for the estimated parameters, implementation details of which are presented in Patton [122].”