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Hedge Fund Returns and Factor Models : A Cross-Section Approach

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Academic year: 2021

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Figure

Figure 1: The number of latent factors estimated using IC 2 criterion for
Figure 3: The second estimated latent factor F2 and the S&P 500 index returns from December 2002 to December 2005.
Table 1: Summary statistics for replication results (in percentage) using buy-and-hold and option-based factors.
Figure 5: Time evolution of average turnover across individual funds for dynamic and naive replication strategies.
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