Hegde fund performance attribution under various market conditions

Stafylas, Dimitrios, Anderson, Keith Philip orcid.org/0000-0002-6557-422X and Uddin, Moshfique (2018) Hegde fund performance attribution under various market conditions. International Review of Financial Analysis. pp. 221-237. ISSN 1057-5219



Copyright, Publisher and Additional Information: © 2018 Elsevier Inc. All rights reserved. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy.
Keywords: Alpha and beta returns, Hedge funds, Multi-factor models, Performance, Risk exposures, Statistical factors
  • Accepted: 13 January 2018
  • Published (online): 3 February 2018
  • Published: 1 March 2018
Institution: The University of York
Academic Units: The University of York > Faculty of Social Sciences (York) > The York Management School
Depositing User: Pure (York)
Date Deposited: 15 Jan 2018 15:30
Last Modified: 06 Dec 2023 12:14
Published Version: https://doi.org/10.1016/j.irfa.2018.01.006
Status: Published
Refereed: Yes
Identification Number: https://doi.org/10.1016/j.irfa.2018.01.006
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Filename: HF_Perf_Attrib_IRFA_R_R.docx

Description: HF Perf Attrib IRFA R&R

Licence: CC-BY-NC-ND 2.5