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):
Research Associate, EDHEC Business School- Head 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.
| Type: | Working paper |
|---|---|
| Date: | le 03/03/2008 |
| Research Cluster : | Finance |
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