Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JFI
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Fixed Income
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Fixed Income

The Journal of Fixed Income

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JFI
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

Hedge Fund Risk Factors and the Value at Risk of Fixed Income Trading Strategies

Geoff loudon, John Okunev and Derek White
The Journal of Fixed Income Fall 2006, 16 (2) 46-61; DOI: https://doi.org/10.3905/jfi.2006.656009
Geoff loudon
A senior lecturer in the Department of Accounting and Finance Division of Economic and Financial Studies at Macquarie University in Sydney, Australia.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: gloudon@efs.mq.edu.au
John Okunev
A professor in the Department of Accounting and Finance Division of Economic and Financial Studies at Macquarie University in Sydney, Australia.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: jokunev@efs.mq.edu.au
Derek White
A senior quantitative analyst at Principal Global Investors in Des Moines, IA.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: white.derek@principal.com
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Abstract

This article analyzes the risk characteristics for various hedge fund strategies specializing in fixed income instruments. Because some fixed income hedge fund strategies have exceptionally high autocorrelations in reported returns and this is taken as evidence of return smoothing, we first develop a method to completely eliminate any order of serial correlation across a wide array of time series processes. Once this is complete, we determine the underlying risk factors to the adjusted hedge fund returns and examine the incremental benefit attained from using nonlinear payoffs relative to the more traditional linear factors. The hedge fund indices have a very strong exposure to high-yield credit. In general, we find a marginal benefit to using the nonlinear risk factors in terms of the ability to explain reported returns. Finally, we examine the benefit of using various factor structures for estimating the value-at-risk of the hedge funds. We find that for some of the hedge fund strategies, downside risk estimates can be quite substantial.

TOPICS: Factor-based models, analysis of individual factors/risk premia

  • © 2006 Pageant Media Ltd

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Fixed Income
Vol. 16, Issue 2
Fall 2006
  • Table of Contents
  • Index by author
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Fixed Income.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Hedge Fund Risk Factors and the Value at Risk of Fixed Income Trading Strategies
(Your Name) has sent you a message from The Journal of Fixed Income
(Your Name) thought you would like to see the The Journal of Fixed Income web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Hedge Fund Risk Factors and the Value at Risk of Fixed Income Trading Strategies
Geoff loudon, John Okunev, Derek White
The Journal of Fixed Income Sep 2006, 16 (2) 46-61; DOI: 10.3905/jfi.2006.656009

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Hedge Fund Risk Factors and the Value at Risk of Fixed Income Trading Strategies
Geoff loudon, John Okunev, Derek White
The Journal of Fixed Income Sep 2006, 16 (2) 46-61; DOI: 10.3905/jfi.2006.656009
del.icio.us logo Digg logo Reddit logo Twitter logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • Classifying Single-Manager Hedge Funds: Some New Insights
  • Google Scholar
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log in
  • Update your Profile
  • Give us your feedback

© 2022 Pageant Media Ltd | All Rights Reserved | ISSN: 1059-8596 | E-ISSN: 2168-8648

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies