David A. Hsieh's Data Library:

Hedge Fund Risk Factors

Last Update: July, 2016.


Here are the original seven hedge fund risk factors used in our paper: "Hedge Fund Benchmarks: A Risk-Based Approach" to capture the risk of well-diversified hedge fund portfolios.
 

Trend-Following Risk Factors (3):

-Bond Trend-Following Factor
-Currency Trend-Following Factor
-Commodity Trend-Following Factor

These trend-following factors are constructed based on the article by William Fung & David A. Hsieh, "The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers," Review of Financial Studies, 14 (2001), 313-341.

The data are made available for academic research. By downloading the data, you agree to the following rules:
1) You must cite Fung and Hsieh (RFS, 2001) in working papers and published papers that use any of these data.
2) You must place the following URL in a footnote to help others find the data: http://faculty.fuqua.duke.edu/~dah7/DataLibrary/TF-FAC.xls
3) You assume all risk for the use of the data.

    Download: click here to download excel file for Jan 1994-present.
[These risk factors will be updated monthly, by the 15th of each month.]

Equity-oriented Risk Factors (2):

-Equity Market Factor
    The Standard & Poors 500 index monthly total return [Datastream code: S&PCOMP(RI)]

-The Size Spread Factor
    In the original 2001 paper, we used  Wilshire Small Cap 1750 - Wilshire Large Cap 750 monthly return.   
   Currently, we are using  Russell 2000 index monthly total return - Standard & Poors 500 monthly total return. [Datastream code: FRUSS2L(RI), S&PCOMP(RI)]

 
Bond-oriented Risk Factors (2):

-The Bond Market Factor
    The monthly change in the 10-year treasury constant maturity yield (month end-to-month end),
    available at the Federal Reserve Bank of St. Louis
    Download site: https://fred.stlouisfed.org/series/DGS10

-The Credit Spread Factor
    The monthly change in the Moody's Baa yield less 10-year treasury constant maturity yield (month end-to-month end),
    available at the Federal Reserve Bank of St. Louis
    Download site for Moody's Baa yield: https://fred.stlouisfed.org/series/DBAA
    Download site for 10-year treasury constant maturity yield: https://fred.stlouisfed.org/series/DGS10

Recently, we have added an eighth factor to this model: 

Emerging Market Risk Factor (1):

-The Emerging Market Index
    In the 2001 paper, we used the IFC Emerging Market index monthly total return.
    Currently, we are using the MSCI Emerging Market index monthly total return [Datastream code: MSEMKF$(RI)]



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