Leverage Estimates by Hedge Fund Strategy1
|Fund Strategies2||Total Number|
|Fixed income: diversified||21||5.4||8.3||1.0||18.0||6.7|
|Fixed income: mortgage-backed||30||3.9||4.3||1.0||10.0||10.0|
|Fixed income: high yield||7||3.0||3.3||1.3||5.2||10.3|
|Fixed income: arbitrage||74||2.0||2.1||1.0||12.0||7.5|
|Equity market neutral||36||1.7||1.8||1.0||3.0||6.4|
|Fund of funds||482||1.2||1.2||1.0||25.0||9.1|
Leverage may not be reported consistently across hedge funds. This number can refer to the current reporting period or to some period average, as reported by the hedge fund. In addition, no specific guidance is available as to how the figure is computed. Data for the period December 1997-December 2003, and at December 2003, as appropriate.
See Box 2.9 for strategy definitions.
Volatility is calculated as the standard deviation of the data reported by hedge funds within each strategy.