Hedge Fund Exposure Analytics

This article presents analytics for modeling daily returns and corresponding net asset value (NAV) changes of individual hedge funds. NAV values of hedge funds are typically available on monthly basis. We estimate the daily NAV for a hedge fund is based on modeling daily returns of the hedge fund as a weighted sum of returns of a combination of several market indices and factors.

https://osf.io/preprints/socarxiv/gxwaj/download

Keywords

hedge fund exposure, net asset value

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