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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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Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the top 15 European business schools. Fully international and directly connected to the business world, EDHEC is a school for business, rather than a business school, where excellence in teaching and research focuses on innovation to stimulate entrepreneurship and creativity. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching philosophy, inspired by its award-winning research activities, focuses on “learning by doing”.
