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Compare the multivariate alpha with the alpha

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Reference no: EM133024618

For Equity Long/Short, run two regressions: (i) a univariate regression of the hedge fund index's excess return on market excess return; and (ii) a multivariate regression on the market, size, value, and momentum factors.

-Interpret the loadings on the different factors. What do we learn of the investment style?

-Compare the multivariate alpha with the alpha from the univariate market regression. Discuss the difference in interpretation between the univariate vs. multivariate alphas. (Hint: Investors don't need to pay fee for the part of return from exposure to the market return because index ETFs are cheaply available. Are the rest factors - HML SMB and MOM cheaply available?)

Reference no: EM133024618

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