Multifactor Analysis of Hedge Fund, Managed Futures, and Mutual Fund Return and Risk Characteristics

Schneeweis, Thomas; Spurgin, Richard B

doi:10.3905/jai.1998.407852

Cited by 131 publications

(58 citation statements)

References 8 publications

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“…Schneeweis and Spurgin (1998) used factors designed to capture the trading opportunities available to CTAs or hedge funds as a means of forecasting return performance. They used the databases of HFR, EACM, MAR and Barclays from 1990 to 1995.…”

Section: Linear Factor Modelsmentioning

confidence: 99%

“…Nine out of twelve strategies deliver significant positive returns. Most Event Driven, Market Neutral, and US Opportunistic funds prefer stocks with high book-to-market ratios Schneeweis and Spurgin (1998) HFR, EACM, MAR, Barclays, 1990Barclays, -1995 Regression based CTA returns are positively related to commodities and currency movements whereas hedge fund returns are related to the index returns invested. Hedge funds systematically offer higher returns than either mutual funds or CTAs for any given level of risk Hedge fund strategies can have payoffs similar to a short position in a put option on the market index and exhibit significant exposures to the size, value, and momentum factors.…”

Section: Studymentioning

confidence: 99%

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Recent advances in explaining hedge fund returns: Implicit factors and exposures

Stafylas

Anderson

Uddin

2017

Global Finance Journal

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We survey articles covering how hedge funds returns are explained, using largely nonlinear 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. Recent Advances in Explaining Hedge Fund Returns: Implicit Factors and Exposures AbstractWe survey articles covering how hedge funds returns are explained, using largely nonlinear 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.Keywords: hedge fund performance; implicit factors; statistical factors; linear and non-linear multi-factor models; alpha and beta returns 1

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Section: Linear Factor Modelsmentioning

confidence: 99%

Section: Studymentioning

confidence: 99%

Recent advances in explaining hedge fund returns: Implicit factors and exposures

Stafylas

Anderson

Uddin

2017

Global Finance Journal

View full text Add to dashboard Cite

show abstract

“…3 Furthermore, according to Fung and Hsieh (2001), these funds perform best in highly volatile markets, an environment where ED, EH and RV have historically delivered below-average performance (Fung and Hsieh, 1999;Schneeweis and Spurgin, 1999).…”

Section: Hedge Fund Style Correlationsmentioning

confidence: 99%

“…1 The academic hedge fund literature so far has focused on exploring the return and risk characteristics of hedge fund styles, and establishing the value-added of these investments in a traditional equity and fixed-income portfolio context. For example, Fung and Hsieh (1997a, 1998, 2002, Naik (2000, 2004), Schneeweis and Spurgin (1999), Amin and Kat (2002), Titman and Tiu (2011), Bali et al (2011), and Patton and Ramadorai (2012) document substantial variations in the risk and return characteristics of hedge funds. They show how hedge funds often exhibit option-like return exposures and little correlation with mutual funds.…”

Section: Introductionmentioning

confidence: 99%

Efficient hedge fund style allocations: A rules-based model

Drobetz¹,

Kaiser²,

Zimbehl

2012

J Deriv Hedge Funds

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“…Schneeweis and Pescatore 19 further state that style-based performance analysis and asset allocation frameworks can be used to determine the optimal allocation to hedge funds. Several studies employ factor analysis to explain hedge fund style returns (for example, Fung and Hsieh, 4 Schneeweis and Spurgin, 20 Schneeweis and Pescatore, 19 and Agarwal and Naik 15 ).…”

Section: Literature Review and Hypothesesmentioning

confidence: 99%

Time-varying asset allocation across hedge fund indices

Switzer

Omelchak²

2009

J Deriv Hedge Funds

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This paper looks at the risk-adjusted performance of dynamic asset allocation strategies across hedge fund indices using conditional volatility forecasting methods for constructing optimal portfolios for funds of funds. Monthly out-of-sample comparisons for nine Credit Suisse First Boston/Tremont hedge fund indices, as well as weekly and daily rebalanced dynamic portfolios are examined for the three main subindices of Standard & Poor's (S&P) Hedge Fund Index. A multivariate asymmetric Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model is also considered for portfolio construction using daily S&P Hedge Fund sub-indices data. Most hedge fund indices exhibit time-varying volatility and volatility clustering. Accounting for forecasted next-period volatility generates portfolios with the best riskreturn profile among all portfolios under consideration. After accounting for transaction costs, out-of-sample results indicate that all dynamic hedge fund index portfolios largely outperform the S&P 500 Index, both on an expected return and risk-adjusted return basis.

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Multifactor Analysis of Hedge Fund, Managed Futures, and Mutual Fund Return and Risk Characteristics

Cited by 131 publications

References 8 publications

Recent advances in explaining hedge fund returns: Implicit factors and exposures

Recent advances in explaining hedge fund returns: Implicit factors and exposures

Efficient hedge fund style allocations: A rules-based model

Time-varying asset allocation across hedge fund indices

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