Estimation Procedure of a Factor Model for theConstruction of Hedge Funds Indices

With hedge funds, issues such as finding common factors that definealternative strategies or the tracking of hedge funds have beendiscussed more or less recently in the financial literature. We proposehere the use of recent developments in estimation of factor modelsto unveil the five latent (unobservable) "strategies" that underlie theperformance of the hedge fund industry.[...]

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Year of publication:	2008-07-01
Authors:	Victoria-Feser, Maria-Pia ; Huber, Philippe
Institutions:	National Centre of Competence in ResearchFinancial Valuation and Risk Management
Subject:	Strategie \| Hedge Fund \| Schätzung \| Faktor <Algebra> \| mediating factors

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1 Introduction
2 Latent variable modeling
3 Construction of the latent strategies fromthe TASS database
4 Classification of the HF into groups
5 Conclusion
6 Acknowledgement
7 Appendix
7.1 Standardization of returns
7.2 Principal component analysis
7.3 Factor analysis
7.4 LAMLE of the FA model
7.5 Criteria for evaluating the stability of a model
7.6 Data analysis results of the determination of theFA model
7.7 List of HF indices
7.8 Average silhouette
References

Persistent link: https://www.econbiz.de/10005868980