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

Stafylas, Dimitrios, Anderson, Keith and Uddin, Moshfique (2017). Recent advances in explaining hedge fund returns:implicit factors and exposures. Global Finance Journal, 33 , pp. 69-87.


We survey articles covering how hedge fund returns are explained, using largely non-linear 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 fund 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.

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Divisions: Aston Business School > Economics, Finance & Entrepreneurship
Aston Business School
Additional Information: © 2016, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International
Uncontrolled Keywords: hedge fund performance,implicit factors,statistical factors,linear and non-linear,multi-factor models,alpha and beta returns,Finance,Economics and Econometrics
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Related URLs: http://www.scop ... tnerID=8YFLogxK (Scopus URL)
Published Online Date: 2016-08-28
Published Date: 2017-05-01
Authors: Stafylas, Dimitrios ( 0000-0002-0326-1877)
Anderson, Keith
Uddin, Moshfique



Version: Accepted Version

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