RISK IN FIXED-INCOME HEDGE FUND STYLES - The authors apply principal components analysis to groups of fixed-income hedge funds to extract common sources of risk and return. These common sources of risk are related to market risk factors, such as changes in interest rate spreads and options on interest rate spreads, or asset-based style factors (ABS). The conclusion is that fixed-income hedge funds ...
| Year of publication: |
2002
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|---|---|
| Authors: | Fung, William ; Hsieh, David A. |
| Published in: |
The journal of fixed income. - New York, NY : Inst. Investor, Inc., ISSN 1059-8596, ZDB-ID 11161036. - Vol. 12.2002, 2, p. 6-27
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