Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. Join them; it only takes a minute:

Sign up
Here's how it works:
  1. Anybody can ask a question
  2. Anybody can answer
  3. The best answers are voted up and rise to the top

What are some of the best ways to effectively measure headwinds for an open ended fund? Headwinds in this case refers to the amount of volatility contributed by a factor or a set of factors to a portfolio.

share|improve this question
If you don't hate multiple regressions too much, it may be the most sensible way to go. You'd have to take good care of course to ensure that your independent variables are not correlated. – user2601 Jun 25 '12 at 9:15
You may want to look up contribution to Value at Risk or Expected Shortfall. This is a more general approach: papers.ssrn.com/sol3/papers.cfm?abstract_id=1565134 – John Jun 26 '12 at 16:21

Your Answer


By posting your answer, you agree to the privacy policy and terms of service.

Browse other questions tagged or ask your own question.