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Equity Hedge Fund ABS Models: Choosing the Volatility Factor

Auteurs :
David E. Kuenzi

Head of Risk Management and Quantitative Research, Glenwood Capital Investments
Research Associate with the EDHEC Risk and Asset Management Research Centre

Xu Shi
Quantitative Risk Analyst, Glenwood Capital Investments

The use of asset-based style analysis (ABS) in the context of hedge fund investmentts continues to take hold within the industry.

Many of the factors used in performing this analysis are straightforward and wellacceptedparticularly in the area of equity hedge funds, where a long market index factor, a small-minus-large factor, and a value-minus growth factor seem to be well-accepted components of an equity hedge fund ABS model. Little attention, however, has been given to understanding the most relevant volatility factors and the relative merits of various instruments in this context. The purpose of this paper is to explore the effectiveness of a variety of volatility factors and to identify those that seem to provide the best explanatory power and the best intuitions concerning the exposures of equity-related hedge fund managers.
Type :
Working Paper
Dates :
Créé le 9 janvier 2008
Complément d'informations :
Pour plus d'informations, nous vous prions de vous adresser à Joanne Finlay, Direction de la recherche de l'EDHEC []

Les opinions exprimées sont celles de l'auteur et n'engagent pas la responsabilité de l'EDHEC.


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