Systematisk riskexponering i svenska hedgefonder
Svenska hedgefonders exponering mot riskfaktorerna i Fung & Hsieh (2004) under perioden 2006-2007
This paper aims to investigate the systematic risk exposure of Swedish hedge funds using a modified Fung & Hsieh (2004) asset-based style factor model. The results show that the average Swedish equity hedge fund and fund of funds had a significant positive exposure to the equity market portfolio and the spread between small cap and large cap stocks (SMB) during the sample period. This is consistent with our a priori expectations and previous international studies. We do not find the expected systematic fixed-income related risk exposure for the fixed-income hedge funds and fund of funds in the sample. The empirical material used in this study is taken from a publicly available fund database maintained by the Swedish Financial Supervisory Authority (Finansinspektionen). The database is unique insofar as all hedge funds domiciled in Sweden are required by law to submit return data to it. The database is hence (theoretically) devoid of some of the well-documented biases typically found in hedge fund databases, such as selection bias, instant history bias and liquidation bias. In the study, we nevertheless document some pitfalls to be aware of before using the database for empirical studies. To our knowledge, the fund database of the Swedish Financial Supervisory Authority has not previously been used for empirical studies of hedge funds.