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


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.

Publication DOI:
Divisions: College of Business and Social Sciences > Aston Business School > Economics, Finance & Entrepreneurship
College of Business and Social Sciences > 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
Publication ISSN: 1873-5665
Full Text Link:
Related URLs: http://www.scop ... tnerID=8YFLogxK (Scopus URL)
PURE Output Type: Article
Published Date: 2017-05-01
Published Online Date: 2016-08-28
Accepted Date: 2016-08-24
Authors: Stafylas, Dimitrios (ORCID Profile 0000-0002-0326-1877)
Anderson, Keith
Uddin, Moshfique



Version: Accepted Version

| Preview

Export / Share Citation


Additional statistics for this record