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Risk in fixed-income hedge fund styles

Fung, William; Hsieh, David A. - In: The journal of fixed income 12 (2002) 2, pp. 6-27

Persistent link: https://www.econbiz.de/10001745236

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 ...

Fung, William; Hsieh, David A. - In: The journal of fixed income 12 (2002) 2, pp. 6-27

Persistent link: https://www.econbiz.de/10007164221

Global Yield Curve Event Risks

Fung, William; Hsieh, David A. - In: The journal of fixed income 6 (1996) 2, pp. 37-48

Persistent link: https://www.econbiz.de/10007323381

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