# kaal:claim:2748096-024

**Claim.** 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.

**Type.** definitional  **Support.** evidenced

**Holds when.**

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

**Source quote.**

> 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, page 9

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

**Verify.** sha256 of source PDF `8f30260f2c1db728b45c4f3b9b7c64358cf9d3217277bc3c63a910c32f87b508` at https://raw.githubusercontent.com/wulfkaal/Academic-Papers/main/papers/pdf/Kaal%20and%20Krause%20-%202016%20-%20Hedge%20Funds%20and%20Systemic%20Risk.pdf

**Topics.** systemic-risk

**Keywords.** contagion, correlation, return-clustering, definition

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