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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.

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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

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