Abstract

LEYVA RAYON, Elitania. Multifactor Model for the Analysis of the Vulnerability of Hedge Funds to Macroeconomic Risk Factors. Econ: teor. práct [online]. 2015, n.42, pp.9-44. ISSN 2448-7481.

Hedge funds are alternative investment funds aimed at high fortunes and institutional investors. Since investing in many markets and assets in which traditional funds and other financial institutions do, hedge funds should respond to the same macroeconomic forces. Therefore, the purpose of this paper is to estimate a multifactor macroeconomic model in order to find the importance and direction of the influence of macroeconomic risk factors on hedge funds. We use a manually constructed database with information from the magazine MARHedge performance & Evaluation Directory (1999-2006). The analysis results support the hypothesis that the macroeconomic innovations (surprises) that have explanatory power on standard assets returns also have explanatory power on the returns of hedge funds.

Keywords : multifactor model; hedge funds indexes; macroeconomic innovations.

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