ETF-based Model of Hedge Fund Returns
November 2, 2016 - Mutual/Hedge Funds
Does a model based on factors extracted from investable exchange-traded funds (ETF) work as well in evaluating fund alphas as models based on factors from more conceptional portfolios? In their October 2016 paper entitled “Bringing Order to Chaos: Capturing Relevant Information with Hedge Fund Factor Models”, Yongjia Li and Alexey Malakhov examine a hedge fund performance evaluation model that identifies risk… Keep Reading