FXTFForeign Exchange Trade Financial
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Next, we determine whether this significant return difference between high MSCI beta funds and low MSCI beta funds can be explained by commonly used hedge fund factors such as Fama and French's (1993) and Carhart's (1997) four factors of market (MKT), size (SMB), book-to-market (HML), and MOM, as well as Fung and Flsieh's (2004) two bond factors ([DELTA]10[Y.sub.t], [DELTA]CredSpr), and Fung and Hsieh's (2001) three trend-following factors on currencies, bonds, and commodities (FXTF, BDTF, and CMTF).
For risk-adjusted returns, we regressed the monthly time-series of return differences between high beta funds and low beta funds on commonly used hedge fund factors using Fama, French, and Carhart's four factors (MKT, SMB, HML, MOM), as well as Fama, French, Carhart, Fung, and Hsieh's combined nine factors (MKT, SMB, HMF, MOM, [DELTA]10[Y.sub.t], [DELTA]CredSpr, BDTF, FXTF, CMTF), and we determined whether the intercepts from these two regressions (i.e., the four-factor and nine-factor alpha) were statistically significant.
FXTF is a currency trend-following factor measured as the return on the Primitive Trend Following Strategy (PTFS) Currency Lookback Straddle.