Abstract

LEYVA RAYON, Elitania. Multi-factor APT model for the analysis of macroeconomic risk factors set forth to the hedge funds. EconoQuantum [online]. 2017, vol.14, n.1, pp.7-33. ISSN 2007-9869.

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.

Keywords : Hedge Funds; Multifactor Model; Macroeconomic Innovations.

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