Seven Factors That Capture Virtually Of Hedge Funds' Returns

The Economist magazine simply published an article on this topic previously.) The 7 factors are (are you lot ready?):

1) excess provide on the S&P 500 index;
2) a pocket-size minus large part constructed every bit the deviation of the Wilshire pocket-size too large
capitalization stock indices;
3) excess returns on portfolios of lookback straddle options on currencies;
4) excess returns on portfolios of lookback straddle options on commodities;
5) excess returns on portfolios of lookback straddle options on bonds;
6) the yield spread of the United States of America 10 twelvemonth treasury bond over the iii calendar month T-bill, adjusted for the duration of the 10 twelvemonth bond;
7) the modify inwards the credit spread of the Moody's BAA bond over the 10 twelvemonth treasury bond, too appropriately adjusted for duration.

According to the researchers, factors 3)-5) are constructed to replicate the maximum possible provide to trend-following strategies on their respective underlying assets.

See, it is non that hard to run a hedge fund later all!