Risk in Fixed-Income Hedge Fund Styles
- 30 September 2002
- journal article
- Published by With Intelligence LLC in The Journal of Fixed Income
- Vol. 12 (2) , 6-27
- https://doi.org/10.3905/jfi.2002.319321
Abstract
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 tend to be exposed to a common ABS factor, credit spreads.This publication has 6 references indexed in Scilit:
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