kaal:claim:2748096-024

Hedge fund contagion is defined as correlation over and above what one would expect from economic fundamentals, and clusters of suboptimal returns across investment styles count as contagion precisely because known risk factors for hedge fund performance cannot explain them.

Source quote, verbatim

Because risk factors associated with hedge fund performance cannot explain such clusters, they can reflect contagion (Boyson et. al. 2010).

From

Wulf A. Kaal, Timothy A. Krause, Hedge Funds and Systemic Risk (2016), Hedge Fund Returns and Investment Strategies, p. 9
https://ssrn.com/abstract=2748096 · source PDF

Cite as

Wulf A. Kaal, Timothy A. Krause, Hedge Funds and Systemic Risk (2016). SSRN: https://ssrn.com/abstract=2748096

Holds when

definition adopted from Bekaert, Harvey, and Ng (2005)

Classification

definitionalsupport: evidencedsystemic-risk

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