Abstract
Just as determining the return of individual stocks is difficult, determining the return of individual hedge funds is difficult. In aggregate, however, hedge funds tend to behave similarly (just as stocks do). By looking at asset-based style factors for hedge funds as a group (such as trend followers, merger arbitrage, fixed-income arbitrage, and equity long–short), the risk factors affecting their returns can be exposed and their behavior can be predicted for various market environments.
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