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!


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)

  • $\begingroup$ 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

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.