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I am seeking papers that use quantitative techniques such as regression or multi-factor models for equity long-short funds. I am interested in understanding equity long-short hedge funds' behavior and exposure to various factors, such as sectors, regions, countries, styles, etc.

Thank you!

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Take a look at the Quantopian Risk Model whitepaper. It goes over implementation details of the multi-factor risk model used by Quantopian to analyze long-short equity strategies.

The QRM includes 11 sector factors, and 5 style factors: momentum, size, value, short-term reversal, and volatility.

(Full disclosure, I work at Quantopian)

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  • $\begingroup$ may I ask you one more question? I am running regression on a equity long/short fund against s&p 500 10 sectors indices (tech, industrials, financials, etc.). I have this fund's historical sector exposure and it has exposures to consumer staples and consumer discretionary. However, when I run regression, the p-values associated with the sectors are very high. Why would the OLS model not capture these exposures? What should I do to capture them? $\endgroup$ – Jun Jang Sep 3 '18 at 15:13
  • $\begingroup$ @JunJang it might be worth creating a new thread for this question. My understanding is that, in general, p-values are not enough to evaluate exposure. You should also take beta into account, and evaluate beta's consistency over time. $\endgroup$ – ernestoeperez88 Sep 13 '18 at 12:44

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