cfa alternative assets

Analysis of Hedge Fund Strategies

Following a practice-based risk factor perspective, a conditional linear factor model can be used to uncover and analyze hedge fund strategy risk exposures. A simple conditional linear factor model applied to a hedge fund strategy’s returns can be represented as: (Return on HFi)t = αi + βi,1(Factor 1)t + βi,2(Factor 2)t + … + βi,K(Factor K)t + Dtβi,1(Factor 1)t + Dtβi,2(Factor 2)t + … … Read more