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This paper adds more information to the existing literature regarding the performance analysis of Directional funds. The findings of this study suggest that both conventional market risks, strategy risks and macro-economic factors are needed for the sake of explaining the returns of Directional funds. By augmenting existing models and creating four new strategy-based factor models this study was able to explain the returns of four Directional strategies. Each of the four analysed Directional strategies applied distinctive investment approaches on diverse asset markets. Therefore, although there are some similarities present between some of the analysed strategies, this paper concluded that each Directional strategy is subject to different risk factors.