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Author: G. Gregoriou
Publisher: Springer
Published: 2011-11-07
Total Pages: 193
ISBN-13: 0230358314
DOWNLOAD EBOOK →While there may be a consensus in the industry that hedge funds clones will bring better liquidity and lower fees, it is still debatable whether replication products should serve as a complement in the hedge fund allocation decision or as a replacement. This book offers the reader valuable insights into the thinking behind hedge fund replication.
Author: Lars Jaeger
Publisher: John Wiley & Sons
Published: 2008-10-13
Total Pages: 272
ISBN-13: 0470721243
DOWNLOAD EBOOK →There s a buzzword that has quickly captured the imagination of product providers and investors alike: "hedge fund replication". In the broadest sense, replicating hedge fund strategies means replicating their return sources and corresponding risk exposures. However, there still lacks a coherent picture on what hedge fund replication means in practice, what its premises are, how to distinguish di erent approaches, and where this can lead us to. Serving as a handbook for replicating the returns of hedge funds at considerably lower cost, Alternative Beta Strategies and Hedge Fund Replication provides a unique focus on replication, explaining along the way the return sources of hedge funds, and their systematic risks, that make replication possible. It explains the background to the new discussion on hedge fund replication and how to derive the returns of many hedge fund strategies at much lower cost, it differentiates the various underlying approaches and explains how hedge fund replication can improve your own investment process into hedge funds. Written by the well known Hedge Fund expert and author Lars Jaeger, the book is divided into three sections: Hedge Fund Background, Return Sources, and Replication Techniques. Section one provides a short course in what hedge funds actually are and how they operate, arming the reader with the background knowledge required for the rest of the book. Section two illuminates the sources from which hedge funds derive their returns and shows that the majority of hedge fund returns derive from systematic risk exposure rather than manager "Alpha". Section three presents various approaches to replicating hedge fund returns by presenting the first and second generation of hedge fund replication products, points out the pitfalls and strengths of the various approaches and illustrates the mathematical concepts that underlie them. With hedge fund replication going mainstream, this book provides clear guidance on the topic to maximise returns.
Author: Roman Tancar
Publisher:
Published: 2013
Total Pages: 700
ISBN-13: 9783000461767
DOWNLOAD EBOOK →Author: Sujit Subhash
Publisher:
Published: 2014
Total Pages: 62
ISBN-13:
DOWNLOAD EBOOK →"Institutional investors and wealthy individuals have in the past allocated a significant portion of their portfolios to hedge funds with the expectation of unconditional and uncorrelated returns to the market. However, the financial crisis of 2008 has heightened investor sensitivity to the high fees, illiquidity, and lockup periods typically associated with hedge funds. Hedge fund indexes showing excellent returns and low volatility contain funds that are closed to new investments, while the performance of investable funds have been shown to be inferior to their non-investable counterparts. The lack of transparency and extreme variation in the performance of hedge funds make the due diligence process critical in selecting the right fund. These challenges have motivated a search for an alternative to hedge funds. Recent research has established that a significant part of hedge fund returns can be replicated by portfolios constructed using liquid financial instruments. Hedge fund replication products, or clones, answer several challenges faced by hedge fund investors by providing daily liquidity, easy monitoring, and complete transparency at a significant cost advantage to hedge funds. This thesis examines the performance of clones constructed with factors selected based on the economic relevance to each hedge fund strategy by using both a passive model with constant portfolio weights, and an active model requiring monthly rebalancing of portfolio weights. These clones are further compared against the top performing hedge funds to analyze if the clones continue to deliver against a higher benchmark with regard to both risk and return"--Abstract, page iv.
Author: Kaiwen Shen
Publisher:
Published: 2022
Total Pages: 0
ISBN-13:
DOWNLOAD EBOOK →This research has confirmed previous studies that the linear hedge fund replication suffersfrom high turnover and the use of dimension reduction techniques can greatly benefit the replication.Then this research proposed to solve the lack of data problem in hedge fund replicationby Multivariate Time Series Synthesis usingWasserstein Generative Adversarial Networks withGradient Penalty (MTSS-GAN-GP). This research proposed to use MTSS-GAN-GP generateddata with real data and autoencoder neural network for portfolio replication. After deductingtransaction cost and pricing impact, such portfolio outperformed hedge fund return net feeand commission in Risk-Reward ratio, Expected shortfall and Certainty Equivalent Return for10 out of 13 strategies. This result demonstrated the inefficiencies of hedge fund performance,given that the information set this research uses is publicly available and offers a new way ofbenchmark hedge fund performance.
Author: Harry M. Kat
Publisher:
Published: 2007
Total Pages: 29
ISBN-13:
DOWNLOAD EBOOK →With average hedge fund performance steadily deteriorating and equity markets picking up again, interest in hedge fund return replication as a cheaper means of obtaining hedge fund-like returns is growing steadily. Currently, there are various products on offer. Compared to real hedge funds (of funds), all of them offer improved liquidity, transparency, capacity, etc. and thereby solve a range of problems surrounding hedge fund investment. There are, however, substantial differences in terms of their attraction as portfolio diversifiers. The multi-strategy replication products offered by Merrill Lynch (Factor Index), Goldman Sachs (ART Index), and Partners Group (ABS fund) exhibit a strong correlation with the stock market. This severely limits these products' attraction as portfolio diversifiers. FundCreator does not necessarily replicate any specific fund or index, but allows investors to design their own diversifier from scratch. This gives investors a unique opportunity to create new tailor-made diversifiers with characteristics that are optimal given their existing portfolios. Clearly, this makes FundCreator-based synthetic funds much more attractive than the various multi-strategy hedge fund replication and alternative beta products currently on offer.
Author: Michael S. O'Doherty
Publisher:
Published: 2016
Total Pages: 48
ISBN-13:
DOWNLOAD EBOOK →Recent years have seen increased demand from institutional investors for passive replication products that track the performance of hedge fund strategies using liquid investable assets such as futures contracts. In practice, linear replication methods suffer from poor tracking performance and high turnover. We propose a model combination approach to index replication that pools information from a diverse set of pre-specified factor models. Compared to existing methods, the pooled clone strategies yield consistently lower tracking errors, generate less severe portfolio drawdowns, and require substantially smaller trading volume. The pooled hedge fund clones also provide economic benefits in a portfolio allocation context.
Author: Peter Lee
Publisher:
Published: 2014
Total Pages:
ISBN-13:
DOWNLOAD EBOOK →During the past few years, hedge fund beta replication strategies have become more common. At the same time, questions about the relevance, performance, and applicability of these strategies have been raised in response to the rapidly shifting landscape in the hedge fund industry. We present a review of the growing beta replication industry with particular emphasis on the ASG Global Alternatives Fund. We discuss the motivation for its existence and the logic of its absolute and relative performance over time and across different market environments. We also explain why these strategies are complements to, and not substitutes for, direct investments in hedge funds, and provide examples of their value-added in investors' portfolios.
Author: Vincent Weber
Publisher:
Published: 2013
Total Pages: 55
ISBN-13:
DOWNLOAD EBOOK →In this paper, we aim to bring together into one common framework various advances in factor-based hedge fund replication. Our replication methodology relies on a set of investable dynamic risk factors extracted from futures contract prices and on an automatic variable and model selection procedure. The methodology is then validated by creating out-of-sample replicating portfolios for the monthly returns of more than 7,000 hedge funds ranging from 2006 to 2012 and under the assumption of transaction costs. Our results suggest that hedge fund replication is on average possible and works best for liquid strategies.
Author: Richard D. F. Harris
Publisher:
Published: 2017
Total Pages: 20
ISBN-13:
DOWNLOAD EBOOK →In this paper, we propose a method for hedge fund replication using a factor-based model supplemented with a series of risk and return constraints that implicitly target all the moments of the hedge fund return distribution. We use the approach to replicate the monthly returns of ten broad hedge fund strategy indices, using long-only positions in ten equity, bond, foreign exchange, and commodity indices, all of which can be traded using liquid, investible instruments such as futures, options and exchange traded funds. In out-of-sample tests, our approach provides an improvement over the pure factor-based model, offering a closer match to both the return performance and risk characteristics of the hedge fund strategy indices.
