Quantitative Analysis of Explanatory Factors Disclosures in Hedge Fund
Zhou, Zhanxu (2010) Quantitative Analysis of Explanatory Factors Disclosures in Hedge Fund. [Dissertation (University of Nottingham only)] (Unpublished)
In this paper, we carry out a series of quantitative analysis with an aim to provide a deeper insight about the adjusted excess returns of hedge fund indices and the potential risk factors that influence the strategies. In order to explore what potential explanatory factors involved in hedge fund, we extract eight hedge fund style indices from each of two famous database during the period from January 2001 to June 2010, and select typical potential risk factors which included common market index factors, Primitive trend-following (PTF) factors based on look back straddle, Fama-French and Carhart factors, commodity factor, Credit spread and additional trading strategy factors.
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