Comments on: Kat: HF replication using alternative betas very useful but sounds better on paper than in practice http://allaboutalpha.com/blog/2008/02/20/kat-hf-replication-using-alternative-betas-very-useful-but-sounds-better-on-paper-than-in-practice/ A finance blog about hedge funds, portable alpha and alternative investing. Mon, 13 Feb 2012 11:26:54 +0000 http://wordpress.org/?v=abc hourly 1 By: allaboutalpha.com: AllAboutAlpha.com http://allaboutalpha.com/blog/2008/02/20/kat-hf-replication-using-alternative-betas-very-useful-but-sounds-better-on-paper-than-in-practice/comment-page-1/#comment-90526 allaboutalpha.com: AllAboutAlpha.com Thu, 13 Mar 2008 00:47:32 +0000 http://allaboutalpha.com/blog/2008/02/20/kat-hf-replication-using-alternative-betas-%e2%80%9cvery-useful%e2%80%9d-but-%e2%80%9csounds-better-on-paper-than-in-practice%e2%80%9d/#comment-90526 [...] One of our primary objectives at AllAboutAlpha.com is to encourage debate and discussion on emerging topics in investment management.  That is why we cover new academic studies, surveys, counter-intuitive viewpoints and controversial opinions.  Today, we bring you the latest in an ongoing debate between two well-known and highly regarded figures in the hedge fund industry, Professor Harry Kat of the Cass Business School and Dr. Lars Jaeger of fund manager Partners Group (previous postings: Jaeger…Kat…Jaeger…).  Although Kat and Jaeger differ on many issues, they share a common interest in furthering the field of finance through frank, collegial and mutually-respectful debate.  And judging from our traffic, so do you the reader. [...] [...] One of our primary objectives at AllAboutAlpha.com is to encourage debate and discussion on emerging topics in investment management.  That is why we cover new academic studies, surveys, counter-intuitive viewpoints and controversial opinions.  Today, we bring you the latest in an ongoing debate between two well-known and highly regarded figures in the hedge fund industry, Professor Harry Kat of the Cass Business School and Dr. Lars Jaeger of fund manager Partners Group (previous postings: Jaeger…Kat…Jaeger…).  Although Kat and Jaeger differ on many issues, they share a common interest in furthering the field of finance through frank, collegial and mutually-respectful debate.  And judging from our traffic, so do you the reader. [...]

]]> By: Jason Ruspini http://allaboutalpha.com/blog/2008/02/20/kat-hf-replication-using-alternative-betas-very-useful-but-sounds-better-on-paper-than-in-practice/comment-page-1/#comment-86139 Jason Ruspini Fri, 22 Feb 2008 14:44:44 +0000 http://allaboutalpha.com/blog/2008/02/20/kat-hf-replication-using-alternative-betas-%e2%80%9cvery-useful%e2%80%9d-but-%e2%80%9csounds-better-on-paper-than-in-practice%e2%80%9d/#comment-86139 Regarding PGABS, it looks like they have the correlation down. Maybe we just need to give them ten years or so for the mean return to converge? I'm joking because I wouldn't describe distributional replication as simple. At least, it is opaque enough to make a fair assessment difficult. We can also point out examples of exceedingly simple and effective mechanical trading funds. Bloomberg:COMAFUT has consistent 85-90% correlation to managed futures indices - with comparable to superior performance, and managed futures is the most difficult style to replicate with the factor approach. Regarding PGABS, it looks like they have the correlation down. Maybe we just need to give them ten years or so for the mean return to converge? I’m joking because I wouldn’t describe distributional replication as simple. At least, it is opaque enough to make a fair assessment difficult.

We can also point out examples of exceedingly simple and effective mechanical trading funds. Bloomberg:COMAFUT has consistent 85-90% correlation to managed futures indices – with comparable to superior performance, and managed futures is the most difficult style to replicate with the factor approach.

]]> By: Alea | #Links http://allaboutalpha.com/blog/2008/02/20/kat-hf-replication-using-alternative-betas-very-useful-but-sounds-better-on-paper-than-in-practice/comment-page-1/#comment-86083 Alea | #Links Fri, 22 Feb 2008 09:52:24 +0000 http://allaboutalpha.com/blog/2008/02/20/kat-hf-replication-using-alternative-betas-%e2%80%9cvery-useful%e2%80%9d-but-%e2%80%9csounds-better-on-paper-than-in-practice%e2%80%9d/#comment-86083 [...] HF Alternative Beta Clones: better on paper than in practice –Harry Kat [...] [...] HF Alternative Beta Clones: better on paper than in practice –Harry Kat [...]

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