<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>1870-6622</journal-id>
<journal-title><![CDATA[EconoQuantum]]></journal-title>
<abbrev-journal-title><![CDATA[EconoQuantum]]></abbrev-journal-title>
<issn>1870-6622</issn>
<publisher>
<publisher-name><![CDATA[Universidad de Guadalajara]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S1870-66222017000100007</article-id>
<title-group>
<article-title xml:lang="es"><![CDATA[Modelo multifactorial APT para el análisis de los factores de riesgo macroeconómico a los que se exponen los hedge funds]]></article-title>
<article-title xml:lang="en"><![CDATA[Multi-factor APT model for the analysis of macroeconomic risk factors set forth to the hedge funds]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Leyva Rayón]]></surname>
<given-names><![CDATA[Elitania]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Universidad de las Américas Puebla Departamento de Economía Escuela de Negocios y Economía]]></institution>
<addr-line><![CDATA[San Andrés Cholula Puebla]]></addr-line>
<country>México</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>06</month>
<year>2017</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>06</month>
<year>2017</year>
</pub-date>
<volume>14</volume>
<numero>1</numero>
<fpage>7</fpage>
<lpage>33</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S1870-66222017000100007&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S1870-66222017000100007&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S1870-66222017000100007&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen Existe sólo dos teorías con un riguroso fundamento para calcular el equilibrio entre el riesgo y la rentabilidad de los activos: el CAPM y el APT. Sin embargo, a diferencia del CAPM, el APT acepta la existencia de diversas fuentes de riesgo sistemático. Por otro lado, dado que los hedge funds invierten en activos que reaccionan ante cambios macroeconómicos, sus rentabilidades también deberían ser influidas por las mismas fuerzas externas que afectan a los dichos activos. Por lo anterior, el objetivo de este trabajo es aplicar un modelo multifactorial macroeconómico en un contexto APT al sector de los hedge funds, para probar si los factores de riesgo macroeconómico tienen poder explicativo sobre sus rentabilidades, así como conocer la significancia y dirección de su influencia. Para ello, se construye una base de datos, carteras de rentabilidades e innovaciones macroeconómicas, y se emplea el método de Fama y MacBeth. A partir de los resultados empíricos, inversionistas y académicos podrán tener una visión analítica de la influencia de los riesgos macroeconómicos en las rentabilidades de los hedge funds.]]></p></abstract>
<abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract There are only two theories with a rigorous basis for calculating the balance between risk and return of assets: the CAPM and the APT. However, unlike the CAPM, the APT accepts the existence of various sources of systematic risk. On the other hand, given that hedge funds invest in assets that react to changes in macroeconomic factors, yields of these investment funds should also be influenced by the same external forces that affect these assets. For that reason, the aim of this paper is to apply a macroeconomic multifactor model APT to the sector of hedge funds, in order to test whether macroeconomic risk factors have explanatory power on the returns of hedge funds, as well as knowing the significance and direction their influence. To do this, a database, portfolios returns and macroeconomic innovations are built, the method of Fama and MacBeth is used. From empirical findings, investors and academics may have analytical view of the influence of macroeconomic risks in the returns of hedge funds.]]></p></abstract>
<kwd-group>
<kwd lng="es"><![CDATA[Hedge Funds]]></kwd>
<kwd lng="es"><![CDATA[modelo multifactorial]]></kwd>
<kwd lng="es"><![CDATA[innovaciones macroeconómicas]]></kwd>
<kwd lng="en"><![CDATA[Hedge Funds]]></kwd>
<kwd lng="en"><![CDATA[Multifactor Model]]></kwd>
<kwd lng="en"><![CDATA[Macroeconomic Innovations]]></kwd>
</kwd-group>
</article-meta>
</front><back>
<ref-list>
<ref id="B1">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Macroeconomic Variables as common pervasive risk factors and the empirical content of the Arbitrage Pricing Theory]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Antoniou]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
<name>
<surname><![CDATA[Garrett]]></surname>
<given-names><![CDATA[I.]]></given-names>
</name>
<name>
<surname><![CDATA[Priestley]]></surname>
<given-names><![CDATA[R.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of Empirical Finance]]></source>
<year>1998</year>
<volume>5</volume>
<page-range>221-40</page-range></nlm-citation>
</ref>
<ref id="B2">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Macroeconomic factors and the empirical content of the Arbitrage Pricing Theory in the Japanese Stock Market]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Azeez]]></surname>
<given-names><![CDATA[A. A.]]></given-names>
</name>
<name>
<surname><![CDATA[Yonezawa]]></surname>
<given-names><![CDATA[Y.]]></given-names>
</name>
</person-group>
<source><![CDATA[Japan and the World]]></source>
<year>2006</year>
<volume>18</volume>
<page-range>568-91</page-range></nlm-citation>
</ref>
<ref id="B3">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Macroeconomic Influences and the Variability of the Commodity Futures Basis]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Bailey]]></surname>
<given-names><![CDATA[W.]]></given-names>
</name>
<name>
<surname><![CDATA[Chan]]></surname>
<given-names><![CDATA[K. C.]]></given-names>
</name>
</person-group>
<source><![CDATA[The Journal of Finance]]></source>
<year>1993</year>
<volume>48</volume>
<numero>2</numero>
<issue>2</issue>
<page-range>555-73</page-range></nlm-citation>
</ref>
<ref id="B4">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Do hedge funds&#8217;exposures to risk factors predict their future returns?]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Bali]]></surname>
<given-names><![CDATA[T. G.]]></given-names>
</name>
<name>
<surname><![CDATA[Brown]]></surname>
<given-names><![CDATA[S. J.]]></given-names>
</name>
<name>
<surname><![CDATA[Caglayan]]></surname>
<given-names><![CDATA[M. O.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of Financial Economics]]></source>
<year>2011</year>
<volume>101</volume>
<page-range>36-68</page-range></nlm-citation>
</ref>
<ref id="B5">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Systematic risk and the cross section of hedge funds returns]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Bali]]></surname>
<given-names><![CDATA[T. G.]]></given-names>
</name>
<name>
<surname><![CDATA[Brown]]></surname>
<given-names><![CDATA[S. J.]]></given-names>
</name>
<name>
<surname><![CDATA[Caglayan]]></surname>
<given-names><![CDATA[M. O.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of Financial Economics]]></source>
<year>2012</year>
<volume>106</volume>
<page-range>114-31</page-range></nlm-citation>
</ref>
<ref id="B6">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Macroeconomic risk and hedge fund returns]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Bali]]></surname>
<given-names><![CDATA[T. G.]]></given-names>
</name>
<name>
<surname><![CDATA[Brown]]></surname>
<given-names><![CDATA[S. J.]]></given-names>
</name>
<name>
<surname><![CDATA[Caglayan]]></surname>
<given-names><![CDATA[M. O.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of Financial Economics]]></source>
<year>2014</year>
<volume>114</volume>
<page-range>1-19</page-range></nlm-citation>
</ref>
<ref id="B7">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Hedge funds and higher moment portfolio selection]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Bergh]]></surname>
<given-names><![CDATA[G.]]></given-names>
</name>
<name>
<surname><![CDATA[van Rensburg]]></surname>
<given-names><![CDATA[P.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of Derivatives &amp; Hedge Funds]]></source>
<year>2008</year>
<volume>14</volume>
<page-range>102-26</page-range></nlm-citation>
</ref>
<ref id="B8">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Sorting Out Risks Using Known APT Factors]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Berry]]></surname>
<given-names><![CDATA[M. A.]]></given-names>
</name>
<name>
<surname><![CDATA[Burmeister]]></surname>
<given-names><![CDATA[E.]]></given-names>
</name>
<name>
<surname><![CDATA[McElroy]]></surname>
<given-names><![CDATA[M. B.]]></given-names>
</name>
</person-group>
<source><![CDATA[Financial Analysts Journal]]></source>
<year>1988</year>
<page-range>29-42</page-range></nlm-citation>
</ref>
<ref id="B9">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Billio]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
<name>
<surname><![CDATA[Getmansky]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
<name>
<surname><![CDATA[Pelizzon]]></surname>
<given-names><![CDATA[L.]]></given-names>
</name>
</person-group>
<source><![CDATA[Dynamic risk exposures in hedge funds]]></source>
<year>2007</year>
<numero>17/WP/2007</numero>
<issue>17/WP/2007</issue>
<publisher-name><![CDATA[Department of Economics, Ca&#8217;Foscari University of Venice]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B10">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Non-parametric analysis of hedge fund returns: New insights from high frequency data]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Billio]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
<name>
<surname><![CDATA[Getmansky]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
<name>
<surname><![CDATA[Pelizzon]]></surname>
<given-names><![CDATA[L.]]></given-names>
</name>
</person-group>
<source><![CDATA[The Journal of Alterative Investments]]></source>
<year>2009</year>
<volume>12</volume>
<numero>1</numero>
<issue>1</issue>
<page-range>21-38</page-range></nlm-citation>
</ref>
<ref id="B11">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Selecting macroeconomic variables as explanatory factors of emerging stock market returns]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Bilson]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
<name>
<surname><![CDATA[Brailsford]]></surname>
<given-names><![CDATA[J.]]></given-names>
</name>
<name>
<surname><![CDATA[Hooper]]></surname>
<given-names><![CDATA[J.]]></given-names>
</name>
</person-group>
<source><![CDATA[Pacific-Basin Finance Journal]]></source>
<year>2001</year>
<volume>9</volume>
<page-range>401-26</page-range></nlm-citation>
</ref>
<ref id="B12">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Risk and returns of hedge funds investment strategies]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Boasson]]></surname>
<given-names><![CDATA[V.]]></given-names>
</name>
<name>
<surname><![CDATA[Boasson]]></surname>
<given-names><![CDATA[E.]]></given-names>
</name>
</person-group>
<source><![CDATA[Investment Management and Financial Innovations]]></source>
<year>2011</year>
<volume>8</volume>
<numero>2</numero>
<issue>2</issue>
<page-range>110-21</page-range></nlm-citation>
</ref>
<ref id="B13">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Offshore Hedge Funds: Survival and Performance 1989-1995]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Brown]]></surname>
<given-names><![CDATA[S. J.]]></given-names>
</name>
<name>
<surname><![CDATA[Goetzmann]]></surname>
<given-names><![CDATA[W. N.]]></given-names>
</name>
<name>
<surname><![CDATA[Ibbotson]]></surname>
<given-names><![CDATA[R.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of Business]]></source>
<year>1999</year>
<volume>72</volume>
<page-range>91-118</page-range></nlm-citation>
</ref>
<ref id="B14">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Burmeister]]></surname>
<given-names><![CDATA[E.]]></given-names>
</name>
<name>
<surname><![CDATA[Roll]]></surname>
<given-names><![CDATA[R.]]></given-names>
</name>
<name>
<surname><![CDATA[Ross]]></surname>
<given-names><![CDATA[S. A.]]></given-names>
</name>
</person-group>
<source><![CDATA[Using Macroeconomic Factors to Control Portfolio Risk]]></source>
<year>2003</year>
<publisher-name><![CDATA[BIRR Portfolio Analysis]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B15">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[On persistence in mutual fund performance]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Carhart]]></surname>
<given-names><![CDATA[M.M.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of Finance]]></source>
<year>1997</year>
<volume>52</volume>
<page-range>57-82</page-range></nlm-citation>
</ref>
<ref id="B16">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[An exploratory investigation of firm size effect]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Chan]]></surname>
<given-names><![CDATA[K. C.]]></given-names>
</name>
<name>
<surname><![CDATA[Chen]]></surname>
<given-names><![CDATA[N-F.]]></given-names>
</name>
<name>
<surname><![CDATA[Hsieh]]></surname>
<given-names><![CDATA[D.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of Financial Economics]]></source>
<year>1985</year>
<volume>14</volume>
<page-range>451-71</page-range></nlm-citation>
</ref>
<ref id="B17">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Economic Forces and the Stock Market]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Chen]]></surname>
<given-names><![CDATA[N-F.]]></given-names>
</name>
<name>
<surname><![CDATA[Roll]]></surname>
<given-names><![CDATA[R.]]></given-names>
</name>
<name>
<surname><![CDATA[Ross]]></surname>
<given-names><![CDATA[S.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of Business]]></source>
<year>1986</year>
<volume>59</volume>
<numero>3</numero>
<issue>3</issue>
<page-range>383-403</page-range></nlm-citation>
</ref>
<ref id="B18">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Some empirical test in the Arbitrage Pricing Theory: Macrovariables vs. Derived Factors]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Chen]]></surname>
<given-names><![CDATA[S-J.]]></given-names>
</name>
<name>
<surname><![CDATA[Jordan]]></surname>
<given-names><![CDATA[B. D.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of Banking and Finance]]></source>
<year>1993</year>
<volume>17</volume>
<page-range>65-89</page-range></nlm-citation>
</ref>
<ref id="B19">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[&#8220;Macroeconomic Factors, The APT and The UK Stockmarket&#8221;]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Clare]]></surname>
<given-names><![CDATA[A. D.]]></given-names>
</name>
<name>
<surname><![CDATA[Thomas]]></surname>
<given-names><![CDATA[S. H.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of Business]]></source>
<year>1994</year>
<volume>21</volume>
<numero>3</numero>
<issue>3</issue>
<page-range>309-30</page-range><publisher-name><![CDATA[Finance & Accounting]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B20">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[The Three Types of Factor Models: A Comparison of Their Explanatory Power]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Connor]]></surname>
<given-names><![CDATA[G.]]></given-names>
</name>
</person-group>
<source><![CDATA[Financial Analysts Journal]]></source>
<year>1995</year>
<page-range>42-6</page-range></nlm-citation>
</ref>
<ref id="B21">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Hedge funds returns and factor models: A cross-sectional approach]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Darolles]]></surname>
<given-names><![CDATA[S.]]></given-names>
</name>
<name>
<surname><![CDATA[Mero]]></surname>
<given-names><![CDATA[G.]]></given-names>
</name>
</person-group>
<source><![CDATA[Bankers, Markets &amp; Investors]]></source>
<year>2011</year>
<numero>112</numero>
<issue>112</issue>
<page-range>34-53</page-range></nlm-citation>
</ref>
<ref id="B22">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Modeling Hedge Fund Returns]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Das]]></surname>
<given-names><![CDATA[N.]]></given-names>
</name>
<name>
<surname><![CDATA[Kish]]></surname>
<given-names><![CDATA[R. J.]]></given-names>
</name>
<name>
<surname><![CDATA[Muething]]></surname>
<given-names><![CDATA[D. L.]]></given-names>
</name>
</person-group>
<source><![CDATA[Financial Decisions]]></source>
<year>2005</year>
</nlm-citation>
</ref>
<ref id="B23">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[The performance of hedge funds strategies and the asymmetry of return distributions]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Ding]]></surname>
<given-names><![CDATA[B.]]></given-names>
</name>
<name>
<surname><![CDATA[Shawky]]></surname>
<given-names><![CDATA[H. A.]]></given-names>
</name>
</person-group>
<source><![CDATA[European Financial Management]]></source>
<year>2007</year>
<volume>13</volume>
<numero>2</numero>
<issue>2</issue>
<page-range>309-31</page-range></nlm-citation>
</ref>
<ref id="B24">
<nlm-citation citation-type="">
<article-title xml:lang=""><![CDATA[The Effect of Macroeconomic Factors on Asset Returns: A comparative Analysis of the German and Turkish Stock Markets in an APT Framework]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Erdinç]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
</person-group>
<source><![CDATA[Martin-Luther-Universität Halle-Wittenberg]]></source>
<year>2003</year>
<numero>48</numero>
<issue>48</issue>
</nlm-citation>
</ref>
<ref id="B25">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Risk, Return, and Equilibrium: Empirical Test]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Fama]]></surname>
<given-names><![CDATA[E.]]></given-names>
</name>
<name>
<surname><![CDATA[MacBeth]]></surname>
<given-names><![CDATA[J.]]></given-names>
</name>
</person-group>
<source><![CDATA[The Journal of Political Economy]]></source>
<year>1973</year>
<volume>81</volume>
<numero>3</numero>
<issue>3</issue>
<page-range>607-36</page-range></nlm-citation>
</ref>
<ref id="B26">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Common risk factors in the returns on stocks and bonds]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Fama]]></surname>
<given-names><![CDATA[E.]]></given-names>
</name>
<name>
<surname><![CDATA[French]]></surname>
<given-names><![CDATA[K.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of Financial Economics]]></source>
<year>1993</year>
<volume>33</volume>
<page-range>3-56</page-range></nlm-citation>
</ref>
<ref id="B27">
<nlm-citation citation-type="">
<collab>Fondo Monetario Internacional</collab>
<source><![CDATA[Hedge Funds and Financial Market Dynamics]]></source>
<year>1998</year>
<numero>166</numero>
<issue>166</issue>
</nlm-citation>
</ref>
<ref id="B28">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[The risk in hedge fund strategies: theory and evidence from trend followers]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Fung]]></surname>
<given-names><![CDATA[W.]]></given-names>
</name>
<name>
<surname><![CDATA[Hsieh]]></surname>
<given-names><![CDATA[D.]]></given-names>
</name>
</person-group>
<source><![CDATA[Review of Financial Studies]]></source>
<year>2001</year>
<volume>14</volume>
<page-range>313-41</page-range></nlm-citation>
</ref>
<ref id="B29">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Hedge fund benchmarks: a risk-based approach]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Fung]]></surname>
<given-names><![CDATA[W.]]></given-names>
</name>
<name>
<surname><![CDATA[Hsieh]]></surname>
<given-names><![CDATA[D.]]></given-names>
</name>
</person-group>
<source><![CDATA[Financial Analysts Journal]]></source>
<year>2004</year>
<volume>60</volume>
<page-range>65-80</page-range></nlm-citation>
</ref>
<ref id="B30">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Gómez-Bezares]]></surname>
<given-names><![CDATA[F.]]></given-names>
</name>
<name>
<surname><![CDATA[Madariaga]]></surname>
<given-names><![CDATA[J.]]></given-names>
</name>
<name>
<surname><![CDATA[Santibáñez]]></surname>
<given-names><![CDATA[J.]]></given-names>
</name>
</person-group>
<source><![CDATA[Valoración de acciones en la Bolsa Española]]></source>
<year>1994</year>
<publisher-loc><![CDATA[Bilbao, España ]]></publisher-loc>
<publisher-name><![CDATA[Desclee De Brouwer]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B31">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Gómez-Bezares]]></surname>
<given-names><![CDATA[F.]]></given-names>
</name>
</person-group>
<source><![CDATA[Gestión de Carteras]]></source>
<year>2006</year>
<edition>3</edition>
<publisher-loc><![CDATA[Bilbao , España ]]></publisher-loc>
<publisher-name><![CDATA[Desclee De Brouwer]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B32">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Further evidence on hedge fund return predictability]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Hamza]]></surname>
<given-names><![CDATA[O.]]></given-names>
</name>
<name>
<surname><![CDATA[Kooli]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
<name>
<surname><![CDATA[Roberge]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
</person-group>
<source><![CDATA[The Journal of Wealth Management]]></source>
<year>2006</year>
<page-range>68-79</page-range></nlm-citation>
</ref>
<ref id="B33">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[In Search of Alpha. Investing in Hedge Funds]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Ineichen]]></surname>
<given-names><![CDATA[M. A.]]></given-names>
</name>
</person-group>
<source><![CDATA[Alternative Investment Strategies]]></source>
<year>2000</year>
<publisher-name><![CDATA[UBS Warburg]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B34">
<nlm-citation citation-type="book">
<article-title xml:lang=""><![CDATA[Macroeconomic Factors and the Correlation of Stock and Bond Returns]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Li]]></surname>
<given-names><![CDATA[L.]]></given-names>
</name>
</person-group>
<source><![CDATA[Yale International Center for Finance]]></source>
<year>2002</year>
<numero>02-46</numero>
<issue>02-46</issue>
<publisher-name><![CDATA[Yale University]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B35">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Hedge Fund Performance: 1990-1999]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Liang]]></surname>
<given-names><![CDATA[B.]]></given-names>
</name>
</person-group>
<source><![CDATA[Financial Analysts Journal]]></source>
<year>2001</year>
<volume>57</volume>
<page-range>11-8</page-range></nlm-citation>
</ref>
<ref id="B36">
<nlm-citation citation-type="">
<source><![CDATA[MARHedge Performance &amp; Evaluation Directory]]></source>
<year>2006</year>
</nlm-citation>
</ref>
<ref id="B37">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Marín]]></surname>
<given-names><![CDATA[J. M.]]></given-names>
</name>
<name>
<surname><![CDATA[Rubio]]></surname>
<given-names><![CDATA[G.]]></given-names>
</name>
</person-group>
<source><![CDATA[Economía Financiera]]></source>
<year>2001</year>
<publisher-loc><![CDATA[Barcelona, España ]]></publisher-loc>
<publisher-name><![CDATA[Antoni Bosch]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B38">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[On the high-frequency dynamics of hedge funds risk exposures]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Patton]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
<name>
<surname><![CDATA[Ramadorai]]></surname>
<given-names><![CDATA[T.]]></given-names>
</name>
</person-group>
<source><![CDATA[The Journal of Finance]]></source>
<year>2013</year>
<volume>68</volume>
<numero>2</numero>
<issue>2</issue>
<page-range>597-635</page-range></nlm-citation>
</ref>
<ref id="B39">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Stastistical Methods in Test of Portfolio Efficiency: A Synthesis]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Shanken]]></surname>
<given-names><![CDATA[J.]]></given-names>
</name>
</person-group>
<source><![CDATA[Handbook of Statistics]]></source>
<year>1996</year>
<volume>14</volume>
<publisher-name><![CDATA[Maddala, S. y Rao, C.]]></publisher-name>
</nlm-citation>
</ref>
</ref-list>
</back>
</article>
