Comments on: Recent performance of HF clones shows they “were attractive during the crises of 2008″ http://allaboutalpha.com/blog/2009/09/09/recent-performance-of-hf-clones-shows-they-were-attractive-during-the-crises-of-2008/ 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: Pierre Laroche http://allaboutalpha.com/blog/2009/09/09/recent-performance-of-hf-clones-shows-they-were-attractive-during-the-crises-of-2008/comment-page-1/#comment-209647 Pierre Laroche Thu, 08 Oct 2009 11:50:06 +0000 http://allaboutalpha.com/blog/?p=5960#comment-209647 A good paper from independant researchers. The message is clear: HF index replicators are certainly worth looking at. Also, I can add that we see more and more FoHF managers using them to manage their excess cash or as the core components of core-satellite FoHF that offer more efficient exposure to the HF industry. Pierre Laroche Innocap Investment Management A good paper from independant researchers. The message is clear: HF index replicators are certainly worth looking at. Also, I can add that we see more and more FoHF managers using them to manage their excess cash or as the core components of core-satellite FoHF that offer more efficient exposure to the HF industry.

Pierre Laroche
Innocap Investment Management

]]> By: Rabbe Ekholm http://allaboutalpha.com/blog/2009/09/09/recent-performance-of-hf-clones-shows-they-were-attractive-during-the-crises-of-2008/comment-page-1/#comment-207754 Rabbe Ekholm Mon, 28 Sep 2009 18:14:38 +0000 http://allaboutalpha.com/blog/?p=5960#comment-207754 In September 2009, TrueBeta launched its independent hedge fund replicator. The express objective of TrueBeta is to replicate the performance of the hedge fund industry, no to beat it (referring to your comment above). Simplicity and transparency of methodology and construction are also specific design objectives. Correlation with the HFRI equal weighted composite over a 5-year period is 0.93, with an annualized tracking error of 3.07%. Skewness and kurtosis are virtually identical to the HFRI index. You can find more detail on methodology and performance on www.true-beta.com. Sincerely Rabbe Ekholm In September 2009, TrueBeta launched its independent hedge fund replicator.
The express objective of TrueBeta is to replicate the performance of the hedge fund industry, no to beat it (referring to your comment above). Simplicity and transparency of methodology and construction are also specific design objectives.

Correlation with the HFRI equal weighted composite over a 5-year period is 0.93, with an annualized tracking error of 3.07%. Skewness and kurtosis are virtually identical to the HFRI index.

You can find more detail on methodology and performance on http://www.true-beta.com.

Sincerely
Rabbe Ekholm

]]> By: THE FINTAG NEWSLETTER @ 10 September 2009 | Pastoon http://allaboutalpha.com/blog/2009/09/09/recent-performance-of-hf-clones-shows-they-were-attractive-during-the-crises-of-2008/comment-page-1/#comment-204158 THE FINTAG NEWSLETTER @ 10 September 2009 | Pastoon Tue, 15 Sep 2009 21:44:57 +0000 http://allaboutalpha.com/blog/?p=5960#comment-204158 [...] allaboutalpha Ah, the good old days – when the hedge fund “secret sauce” was revealed and suppliers set about developing the products that would bring it to investors the world over under the moniker “hedge fund cloning”. But as Swiss researchers Erik Wallerstein, Nils Tuchschmid and Sassan Zakerc note in a recent paper called “How do hedge fund clones manage the real world?”: [...] [...] allaboutalpha Ah, the good old days – when the hedge fund “secret sauce” was revealed and suppliers set about developing the products that would bring it to investors the world over under the moniker “hedge fund cloning”. But as Swiss researchers Erik Wallerstein, Nils Tuchschmid and Sassan Zakerc note in a recent paper called “How do hedge fund clones manage the real world?”: [...]

]]> By: Harry M. Kat http://allaboutalpha.com/blog/2009/09/09/recent-performance-of-hf-clones-shows-they-were-attractive-during-the-crises-of-2008/comment-page-1/#comment-202573 Harry M. Kat Thu, 10 Sep 2009 20:39:57 +0000 http://allaboutalpha.com/blog/?p=5960#comment-202573 As the "father" of distributional replication, I am extremely happy with this research paper. Being more complex than other techniques, distributional replication has been slow gaining acceptance. Now, however, we have the real life performance of 2 products based on it defying all criticism and clearly showing how robust the technology is. Quoting from the paper (page 9): " the two (products) based on distribution approach are singled out as to have the highest returns and belonging to the group of four products with the lowest volatility." It is important to note that there are big differences between both products though. Fully in line with its explicit risk targets, the Aquila Capital SVMN fund, which uses our FundCreator risk management system, generated zero correlation with stocks, bonds and commodities. The DGAM product on the other hand exhibited very high correlation with these asset classes, much in line with other replication products. Building good diversifiers is not as simple as most people think As the “father” of distributional replication, I am extremely happy with this research paper. Being more complex than other techniques, distributional replication has been slow gaining acceptance. Now, however, we have the real life performance of 2 products based on it defying all criticism and clearly showing how robust the technology is. Quoting from the paper (page 9): ” the two (products) based
on distribution approach are singled out as to have the highest returns and belonging to the group of four products with the lowest volatility.” It is important to note that there are big differences between both products though. Fully in line with its explicit risk targets, the Aquila Capital SVMN fund, which uses our FundCreator risk management system, generated zero correlation with stocks, bonds and commodities. The DGAM product on the other hand exhibited very high correlation with these asset classes, much in line with other replication products. Building good diversifiers is not as simple as most people think

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