Recent Advances in Explaining Hedge Fund Returns: Implicit Factors and Exposures

32 Pages Posted: 18 Nov 2015

See all articles by Dimitrios Stafylas

Dimitrios Stafylas

Aston University - Aston Business School

Keith P. Anderson

The York Management School

Muhammad Moshfique Uddin

University of Leeds - Division of Management

Date Written: March 6, 2015

Abstract

We survey articles covering how hedge funds returns are explained, using linear and non-linear multifactor models that examine hedge funds as option portfolios or indices. We provide an integrated view of the implicit factor and the statistical factor models that are largely able to explain hedge funds returns. 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

JEL Classification: G110

Suggested Citation

Stafylas, Dimitrios and Anderson, Keith P. and Uddin, Muhammad Moshfique, Recent Advances in Explaining Hedge Fund Returns: Implicit Factors and Exposures (March 6, 2015). Available at SSRN: https://ssrn.com/abstract=2691984 or http://dx.doi.org/10.2139/ssrn.2691984

Dimitrios Stafylas

Aston University - Aston Business School ( email )

Aston Triangle
Birmingham, B47ET
United Kingdom

Keith P. Anderson (Contact Author)

The York Management School ( email )

York YO10 5DD
United Kingdom

Muhammad Moshfique Uddin

University of Leeds - Division of Management ( email )

United Kingdom

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