Hedge Fund Analysis Reading the Multi-Factor Tea Leaves

During the last few years, there has been growing interest in the use of factor models for performing risk and exposure analysis of hedge funds.

Author(s) :

David E. Kuenzi

Research Associate, EDHEC Business SchoolHead of Risk Management and Quantitative Research, Glenwood Capital Investments

While interpreting directional and spread related factors in this context is fairly straightforward, interpreting non-linear options exposures often is not. Given the variety of activities that can produce options exposures, the interpretation of multi-factor output in this regard can be more of an art than a science. This paper explores the variety of hedge fund manager activities that can drive options exposures in multi-factor analysis and the considerations that must be made in analyzing and interpreting these exposures.
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Hedge Fund Analysis Reading the Multi-Factor Tea Leaves...
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Type : Working paper
Date : le 03/03/2008
Extra information : Pour plus d'informations, nous vous prions de vous adresser à Joanne Finlay, Direction de la recherche de l'EDHEC [ joanne.finlay@edhec.edu] Les opinions exprimées sont celles de l'auteur et n'engagent pas la responsabilité de l'EDHEC.
Research Cluster : Finance

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