Asset-Based Style Factors for Hedge Funds

Published

Journal Article

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.

Full Text

Duke Authors

Cited Authors

  • Fung, W; Hsieh, DA

Published Date

  • January 1, 2002

Published In

Volume / Issue

  • 58 / 5

Start / End Page

  • 16 - 27

International Standard Serial Number (ISSN)

  • 0015-198X

Digital Object Identifier (DOI)

  • 10.2469/faj.v58.n5.2465

Citation Source

  • Scopus