Anomalies as New Hedge Fund Factors
从大量候选因子中筛选出9个因子（含5个异常因子）解释对冲基金收益，该模型优于现有模型，能显著降低阿尔法并捕捉套利交易收益，有助于评估基金策略和风险暴露。
Abstract We identify a parsimonious set of factors from a large pool of candidates for explaining hedge fund returns, ranging from equity market, anomaly, and trend-following factors to macroeconomic factors. The resulting 9-factor model, including five anomaly factors, outperforms existing hedge fund models both in sample and out of sample, with a significant reduction in alphas while showing substantial cross sectional performance heterogeneity. Further analysis based on fund holdings confirms the model’s ability to capture returns from arbitrage trading. Overall, the anomaly factors help quantify hedge fund strategies and risk exposures and improve fund performance evaluation.