I want to monitor HF/CTA long/short position and calculate beta on different HF indices in Excel/VBA, see graph below. I can't seem to find any papers on "Multi-factor based rolling beta", so my question is:
Is the multi-factor rolling beta simply the "=LINEST" excel-function where the given HF index is regressed upon multiple log-return series from e.g. commodity, bond and currency indices. And practically, the rolling aspect then comes the regression (over 30 days) being dragged down on the whole series (spanning approx 2 years in this graph).
If not, could someone please explain how multi-factor rolling beta is calculated or point me in a direction of how to find out?