What Can Central Bankers Learn from Hedge Fund Replication Strategies?

Conference Paper

AbstractThe following sections are included:IntroductionThe Sample of Large Hedge FundsStyle distribution of large fundsPrincipal component analysisA Simple 8-Factor Model of Hedge Fund RiskEquity factorsBond factorsTrend-following factorsEmerging market factorsExposures of Large Hedge Funds Using Monthly ReturnsThe effects of serial correlation in hedge fund returnsExposure of average hedge fundsCorroboration of Exposures Using Daily Investible IndicesConclusionReferences

Duke Authors

Cited Authors

  • Hsieh, DA

Published Date

  • January 2009

Start / End Page

  • 331 - 347