固定收益型对冲基金的风险

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This paper studies the risk in fixed-income hedge fund styles. Principal component analysis is applied 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. We call these assetbased style factors (“ABS”). The paper finds that fixed-income hedge funds tend to be exposed to a common ABS factor: credit spreads.

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关键词：对冲基金 固定收益 fixed-income market risk hedge fund interest 对冲基金 factors related return