RT Journal Article SR Electronic T1 Extracting Factor Loadings from Capital Market Assumptions: What is Embedded in Forecast Hedge Fund Returns? JF The Journal of Wealth Management FD Institutional Investor Journals SP jwm.2021.1.162 DO 10.3905/jwm.2021.1.162 A1 William W. Jennings A1 Brian C. Payne YR 2021 UL https://pm-research.com/content/early/2021/12/01/jwm.2021.1.162.abstract AB We detail how to extract factor risk, return, and correlation assumptions from a set of asset-class risk, return, and correlation assumptions. Such capital market assumptions are key tools in institutional and high net worth investment operations. Using an institutional investment consultant’s asset-class assumptions, we use our technique to evaluate the implied factor loadings for a demonstration asset class, hedge funds, and find that much of their return comes from factor exposures. Our analytical approach offers useful insight to the veracity of capital market assumptions, key inputs to investment decision making.