Recent Advances in Explaining Hedge Fund Returns: Implicit Factors and Exposures

Keith Philip Anderson; Dimitrios Stafylas; Muhammad Moshfique Uddin

doi:10.1016/j.gfj.2016.08.001

Recent Advances in Explaining Hedge Fund Returns: Implicit Factors and Exposures

Keith Philip Anderson, Dimitrios Stafylas, Muhammad Moshfique Uddin

The York Management School

Research output: Contribution to journal › Article › peer-review

Abstract

We survey articles covering how hedge funds returns are explained, using largely non-linear multifactor models that examine the non-linear pay-offs and exposures of hedge funds. We provide an integrated view of the implicit factor and statistical factor models that are largely able to explain the hedge fund return-generating process. We present their evolution through time by discussing pioneering studies that made a significant contribution to knowledge, and also recent innovative studies that examine hedge funds exposures using advanced econometric methods. This is the first review that analyzes very recent studies that explain a large part of hedge fund variation. We conclude by presenting some gaps for future research.

Original language	English
Pages (from-to)	69-87
Number of pages	19
Journal	Global Finance Journal
Volume	33
Early online date	28 Aug 2016
DOIs	https://doi.org/10.1016/j.gfj.2016.08.001
Publication status	Published - 2017

Bibliographical note

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10.1016/j.gfj.2016.08.001

HFsImplicitFactorsPaperGFJ3N
© 2016 Elsevier Inc. All rights reserved. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy.
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Cite this

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title = "Recent Advances in Explaining Hedge Fund Returns: Implicit Factors and Exposures",

abstract = "We survey articles covering how hedge funds returns are explained, using largely non-linear multifactor models that examine the non-linear pay-offs and exposures of hedge funds. We provide an integrated view of the implicit factor and statistical factor models that are largely able to explain the hedge fund return-generating process. We present their evolution through time by discussing pioneering studies that made a significant contribution to knowledge, and also recent innovative studies that examine hedge funds exposures using advanced econometric methods. This is the first review that analyzes very recent studies that explain a large part of hedge fund variation. We conclude by presenting some gaps for future research.",

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