Summer of 1000 Posts: Alternative Beta and Hedge Fund Replication

12 Jul 2009

Today, we bring you another installment of our “Summer of 1,000 posts” (more…)

This week’s sampling from our archives covers the topic of Alternative Beta and and Hedge Fund Replication…

With hedge funds back in the black, how are the hedge fund “clones” doing?
At least one hedge fund “replicator” has recently been replicating the aspirations, if not the actual experiences of hedge fund managers.

A novel approach to monitoring daily HF returns when they don’t actually exist
Hedge fund replication is now put to a different use by researchers.  Call it “assisted hedge fund replication”.

Pendulum swinging back to investable hedge fund indices for passive HF exposure
It wasn’t long ago that investors were graduating from simple investable hedge fund indices to more sophisticated hedge fund replication products for their passive hedge fund exposure.  Now, it seems that “simple” is back as some investors are willing to stomach the high hedge fund fees in exchange for transparency and liquidity.

Look what’s coming back now
After being labeled “faddish” and “silly” and being derided as a waste of time last year, short extension and hedge fund replication strategies returned to the news cycle this week.

Despite ongoing skepticism, two-thirds say they are willing to believe in “hedge fund replication”
Newly-release government UFO files aren’t the only controversy pitting skeptics against “believers” these days…

Comment: The Problem of “Missing Factors” in Hedge Fund Replication
Hedge fund replication using factor models is a balancing act between using so many factors that the model doesn’t hold up in the future, and using so few factors that the model doesn’t hold up at all.

Andrew Lo: Hedge fund replication is an “elegant solution in search of a problem”
Thought leaders in the hedge fund community remained ensconced at the Princeton Club of New York today as they continued to debate the future of their industry.

Will “hedge fund replication” benefit from new short selling bans?
Hedge funds from the US and Europe met in New York today to discuss ways to discuss “hedge fund replication”.  Now that shorting financials has been banned, will “replication” be closest thing we’ll see to actual hedge funds for the next while?

Hedge fund clones calling in reinforcements for “attack” on funds of funds
Apparently, hedge fund replication products have banded together with other such “hedge fund clones” under the banner “Pax Clonizatus”.

Virtual private equity a step closer to reality
Apparently not content to just clone hedge funds, State Street has now turned its sites to cloning private equity funds.

Goldman’s “A.R.T.” HF-Replication-Mutual-Fund
After launching a “hedge fund replication” index last year, Goldman has now built a mutual fund around it.  So whither “long-only replication”?

Silos, flesh wounds, the “disintermediation” of poultry, and a call to action

Experts ranging from LBS’s Narayan Naik to Stanford’s Myron Scholes weighed-in on everything from organizational silos to economic first aid in London today.

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