Asset-Based Style Factors for Hedge Funds
Publication
, Journal Article
Fung, W; Hsieh, DA
Published in: Financial Analysts Journal
January 1, 2002
Asset-based style factors link returns of hedge fund strategies to observed market prices. They provide explicit and unambiguous descriptions of hedge fund strategies that reveal the nature and quantity of risk. Asset-based style factors are key inputs for portfolio construction and for benchmarking hedge fund performance on a risk-adjusted basis. We used previously developed models to construct asset-based style factors and demonstrate that one model correctly predicted the return behavior of trend-following strategies during out-of-sample periods - in particular, during stressful market conditions like those of September 2001.
Duke Scholars
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Published In
Financial Analysts Journal
DOI
ISSN
0015-198X
Publication Date
January 1, 2002
Volume
58
Issue
5
Start / End Page
16 / 27
Related Subject Headings
- Finance
- 3502 Banking, finance and investment
- 3501 Accounting, auditing and accountability
- 1502 Banking, Finance and Investment
- 1501 Accounting, Auditing and Accountability
Citation
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Fung, W., & Hsieh, D. A. (2002). Asset-Based Style Factors for Hedge Funds. Financial Analysts Journal, 58(5), 16–27. https://doi.org/10.2469/faj.v58.n5.2465
Fung, W., and D. A. Hsieh. “Asset-Based Style Factors for Hedge Funds.” Financial Analysts Journal 58, no. 5 (January 1, 2002): 16–27. https://doi.org/10.2469/faj.v58.n5.2465.
Fung W, Hsieh DA. Asset-Based Style Factors for Hedge Funds. Financial Analysts Journal. 2002 Jan 1;58(5):16–27.
Fung, W., and D. A. Hsieh. “Asset-Based Style Factors for Hedge Funds.” Financial Analysts Journal, vol. 58, no. 5, Jan. 2002, pp. 16–27. Scopus, doi:10.2469/faj.v58.n5.2465.
Fung W, Hsieh DA. Asset-Based Style Factors for Hedge Funds. Financial Analysts Journal. 2002 Jan 1;58(5):16–27.
Published In
Financial Analysts Journal
DOI
ISSN
0015-198X
Publication Date
January 1, 2002
Volume
58
Issue
5
Start / End Page
16 / 27
Related Subject Headings
- Finance
- 3502 Banking, finance and investment
- 3501 Accounting, auditing and accountability
- 1502 Banking, Finance and Investment
- 1501 Accounting, Auditing and Accountability