This paper has three contributions to the literature. First, it analyzes the risk characteristics for 11 Relative Value hedge fund strategies. Second, the paper introduces three families of behavioral factors, the D family, the L family, and the R family. These new factors assume investors use historical and behavioral data from each hedge fund category to assess the risk. This historical information, when included with asset pricing models, is more powerful in explaining hedge fund returns than previous models. Third, unlike the previous literature, these generated models are corrected for time-series assumptions violations and heteroskedasticity.