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CF Weekly Workshop - Pedro Saffi

When Nov 22, 2011
from 05:00 PM to 06:00 PM
Where Room 7, Lecture Block, Sidgwick Site
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Talk by Dr Pedro Saffi

Asymmetric Risk Shifting in Long and Short Positions and their Impact on Hedge Fund Performance

(with Gabriela Bertol Domingues (LSE))

Abstract:

This paper investigates the impact of dynamic risk shifting on the performance of mutual funds, using a unique database with monthly portfolio holdings of Brazilian investment funds between 2005 and 2009. The availability of long and short positions allows us to breakdown the risk shifting of long and short holdings of stocks, uncovering significant differences in the behavior of managers when adjusting their risk exposure. We find that funds that increase the risk of their long positions tend to underperform while risk increases in short positions leave to overperformance.

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