(Harvest) We analyze approximately 600 hedge fund long U.S. equity portfolios that are tractable from regulatory filings. Note that roughly half of U.S. hedge fund portfolios are impossible to analyze accurately due to the quarterly data frequency and high turnover. Similarly to our earlier analysis of mutual fund portfolio hedging, we evaluate three approaches to calculating market hedge ratios.
Tests of Equity Market Hedging: U.S. Hedge Funds
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