PDF Hedge Fund Replication

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The argument is that such products provide hedge fund-like returns while making it possible to avoid paying high fees charged by hedge funds. It concludes that, although hedge fund replication is theoretically appealing, it does not, in practice, deliver satisfactory results.

Dr. Lars Jaeger on Hedge Fund Replication and Alternative Beta - rindractingchromen.ml Part 3

They find that very few of the asset managers who responded to the survey have invested in such products. Many investors are critical of passive hedge fund replication and have doubts about its potential benefits.

5 Hedge Fund Replication Strategy ETFs to Consider

Results of the EDHEC study: current hedge fund replication products fail to deliver in practical tests. Empirical tests described in the EDHEC study show that both methods fail to deliver satisfactory results in terms of exact replication of hedge fund returns. While the linear factor replication achieves only a very poor out-of-sample performance in replicating hedge fund returns, the payoff distribution replication falls short of providing hedge-fund style time series properties.

The industry perspective: asset managers are not yet convinced of the advantages of hedge fund replication products and are thus very reluctant to invest. In addition, managers criticise the poor performance, the lack of transparency and the deficient technology of the replication products on offer. The EDHEC study concludes that many investors are likely to wait for the development of better products, such as those using non-linear factor models.

Hedge Fund Replication

For the time being, they prefer actual hedge funds or other substitutes for hedge funds to passive replication products. He has a masters in economics and a PhD in finance and has conducted active research in the fields of quantitative equity management, portfolio performance analysis and active asset allocation, resulting in numerous academic and practitioner articles and books.

He is also associate editor of the Journal of Alternative Investments and a member of the scientific advisory council of the AMF French financial regulatory authority.

He obtained his PhD in economics from the University of Bonn. Premium FT.

Definitive List Of Hedge Fund ETFs

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