William Fung

Co-author with David A. Hsieh of the seminal series on hedge fund return characteristics and benchmarking. At the time of this 2004 paper he was Visiting Research Professor at the Centre for Hedge Fund Education and Research, London Business School.

Key contributions

• Hedge fund return characteristics — the 1997 RFS paper "Empirical Characteristics of Dynamic Trading Strategies" found hedge fund returns have much lower correlation with standard asset returns than mutual funds, motivating the search for non-traditional risk factors.
• Lookback-straddle replication of trend followers — the 2001 RFS paper modeled CTA returns as portfolios of lookback straddles, supplying the option-based interpretation that is now part of the standard ABS factor toolkit.
• Fixed-income hedge fund styles — the 2002a Journal of Fixed Income paper derived the credit-spread and 10Y-rate factor exposures that appear in the seven-factor model.
• ABS-style factors as observable benchmarks — the 2002b FAJ paper formalized asset-based style factors and the 2004 FAJ paper (with this summary) crystallized the seven-factor framework and the alternative-alpha/alternative-beta distinction.

See also

• David A. Hsieh — 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.