TY - JOUR T1 - Risk in Fixed-Income Hedge Fund Styles JF - The Journal of Fixed Income SP - 6 LP - 27 DO - 10.3905/jfi.2002.319321 VL - 12 IS - 2 AU - William Fung AU - David A. Hsieh Y1 - 2002/09/30 UR - https://pm-research.com/content/12/2/6.abstract N2 - The authors apply principal components analysis to groups of fixed-income hedge funds to extract common sources of risk and return. These common sources of risk are related to market risk factors, such as changes in interest rate spreads and options on interest rate spreads, or asset-based style factors (ABS). The conclusion is that fixed-income hedge funds tend to be exposed to a common ABS factor, credit spreads. ER -