Research and Insights
Articles by Michael Levinson
Barra Hedge Fund Model (HFM2) Research NotesResearch Report | Jul 2, 2011 |
Hedge Fund Risk ModelingResearch Report | Apr 1, 2007 |
This paper introduces the Barra Hedge Fund Model, designed to overcome the unique challenges of modeling hedge fund risk. The model provides a forecast of the risk of a hedge fund, or a portfolio of funds, using fund return series and information regarding its peer group membership. Extensive research has identified factors that drive the returns to securities within each of these peer groups for various asset classes and regions. What may be surprising to some investors is...