Hedge Fund Returns And Alternative Risk Premium Factors

In two previous posts (Identifying Alternative Risk Premium Factors and Alternative Risk Premium Factors), we outlined how Quantitative Investment Strategy indices (QIS) can be used to construct common alternative risk factors that contain ...
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Alternative Risk Premium Factors

In a previous post (Identifying Alternative Risk Premium Factors), we outlined how bank risk prima can be used to construct common alternative risk factors that contain largely orthogonal information. These risk factors are based on ...
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8 min read

Identifying Alternative Risk Premium Factors

Why Do We Need (New) Risk Factors? In determining a fund’s ability to generate alpha, or in evaluating a fund’s market risk, the sensitivity of the fund to risk factors is usually considered. In 2004, Fung and Hsieh proposed to measure a ...
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5 min read

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Fund Uniqueness

How Unique Is My Investment? When making an investment decision, it is important to assess the attractiveness of a potential investment not only on its own, but also in relation to the existing portfolio. The ideal investment offers an ...
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