Edhec hedge fund replication research now online

Regular readers may recall this story we did on a research study by Edhec, the French business school, last spring.  The study contained a comprehensive analysis of various so-called hedge fund replication strategies.  At the time we directed you to Edhec if you wanted to buy the whole report since it wasn’t available to the public.

Well if you’ve been holding out since June, waiting for it to go on sale, this is your day.  In the wake of a highly successful conference in London, Edhec has now released both the white paper and a set of accompanying slides used at the event.

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One Comment

  1. Jerome Abernathy
    December 2, 2007 at 9:43 pm

    With all due respect to Edhec- I do like most of their work- this research is, ahem, quite different from the results acheived by others. Maybe a little peer-review is in order.

    Factor-based alternative beta has been around for a year now (Merrill introduced their product in October, 2006) and the actual results are much more interesting than those obtained by Edhec.

    On a daily basis, the corrlelation between the HFRX- which reports daily- and the various alternative beta indices provided by Merrill, Goldman, Stonebrook, etc. is in the mid-80’s. Moreover, they have substantially outperformed their benchmarks.

    Thus far, it seems factor-based alternative beta has delivered what it promised. The interesting question is: “how should alternative beta be used?” Well, it can be used as a hedge to create a “pure alpha” portfolio, it can be used in a core/satellite design, or it can be used to gain exposure to the systemic returns of the broad hedge fund industry.


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