EDHEC Presents Much-Anticipated Hedge Fund Replication Study in Geneva
| Mar 13th, 2007 | Filed under: Alternative Beta & Hedge Fund Replication | By: Alpha Male |
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Hedge Fund Replication: Old theory, new interest, inconclusive results
Consultant and journalist Pierre Saint-Laurent* continues his coverage of EDHEC’s Asset Management Days in Geneva this week for All About Alpha. On Tuesday, he attended a much anticipated presentation on hedge fund replication featuring researchers Noël Amenc, Jean-Christophe Meyfredi, François-Serge Lhabitant and Walter Géhin. Other industry leaders** joined the EDHEC group on a subsequent panel discussion. Here again is Saint-Laurent’s dispatch from Geneva.
Hedge fund replication is controversial. For some, it’s a gallant effort to lower fees, increase transparency and boost liquidity. For others, it’s a work in progress whose promoters may be getting ahead of themselves.
But one thing is for sure: Hedge fund replication is not a new subject according to EDHEC researchers. The general concept of factor modeling dates back decades, and one of its most famous applications to hedge fund returns was completed by Fung and Hsieh in their 2002 style-based research.
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