Recent advances in explaining hedge fund returns: implicit factors and exposures

Dimitrios Stafylas, Keith Anderson*, Moshfique Uddin

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review


We survey articles covering how hedge fund returns are explained, using largely non-linear multifactor models that examine the non-linear pay-offs and exposures of hedge funds. We provide an integrated view of the implicit factor and statistical factor models that are largely able to explain the hedge fund return-generating process. We present their evolution through time by discussing pioneering studies that made a significant contribution to knowledge, and also recent innovative studies that examine hedge fund exposures using advanced econometric methods. This is the first review that analyzes very recent studies that explain a large part of hedge fund variation. We conclude by presenting some gaps for future research.
Original languageEnglish
Pages (from-to)69-87
JournalGlobal Finance Journal
Early online date28 Aug 2016
Publication statusPublished - 1 May 2017

Bibliographical note

© 2016, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International


  • hedge fund performance
  • implicit factors
  • statistical factors
  • linear and non-linear
  • multi-factor models
  • alpha and beta returns


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