David A. Hsieh

Professor of Finance at Duke University's Fuqua School of Business. Co-author with William Fung of the foundational series on hedge fund return characteristics and ABS-style benchmarking.

Key contributions

• Long-running research program (with Fung) that established the modern empirical toolkit for hedge fund performance attribution. The 2004 FAJ paper is the synthesis of this program; the individual components are scattered across:
  • 1997a RFS — empirical characteristics of dynamic trading strategies.
  • 1997b Journal of Portfolio Management — survivorship bias in CTA returns.
  • 2000 JFQA — natural vs spurious biases in hedge fund data.
  • 2001 RFS — risk in hedge fund strategies with application to trend followers.
  • 2002a Journal of Fixed Income — risk in fixed-income hedge fund styles.
  • 2002b FAJ — asset-based style factors for hedge funds.
  • 2003 working paper — risk in equity long/short hedge funds.
• Lookback-straddle replication of CTA returns (with Fung, 2001) — supplied the option-based interpretation that the 2004 paper uses as a trend-following ABS factor.
• Reverse-recursive residual break detection (2004) — diagnostic trick for time-varying betas when recent data is more reliable than older data.

See also

• William Fung — long-time co-author.
• Fung & Hsieh 2004 Hedge Fund Benchmarks — the paper this wiki holds.
• Asset-Based Style Factors (ABS 因子) / Fung-Hsieh 七因子模型 — concepts derived from the joint work.