HEDGE FUNDS: RISK AND PERFORMANCE

This paper models hedge fund exposure to risk factors and examines time-varying performance of hedge funds. From existing models such as asset-based style (ABS)-factor model, standard asset class (SAC)-factor model, and four-factor model, we extract the best six factors for each hedge fund portfolio...

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Bibliographic Details
Published in:Journal of Financial Management, Markets and Institutions
Main Authors: SANGHEON SHIN, JAN SMOLARSKI, GÖKÇE SOYDEMIR
Format: Article
Language:English
Published: World Scientific Publishing 2018-06-01
Subjects:
hedge funds
risk factor
performance
capital asset pricing model
instant history bias
survivorship bias
Online Access:http://www.worldscientific.com/doi/epdf/10.1142/S2591768418500034

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http://www.worldscientific.com/doi/epdf/10.1142/S2591768418500034

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