Skip to main content

What Can Central Bankers Learn from Hedge Fund Replication Strategies?

Publication ,  Conference
Hsieh, DA
January 2009

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 Scholars

Publication Date

January 2009

Start / End Page

331 / 347
 

Publication Date

January 2009

Start / End Page

331 / 347