Alternative Beta & Hedge Fund Replication
Alpha Comes in Waves
Feb 20th, 2020 | Filed under: Retail Investing, Newly Added, Alternative Beta & Hedge Fund Replication, Smart Beta, The A.I. Industry, Hedge Funds, Liquid Alternative Investiments, Commodities, Structure of the Hedge Funds Industry, Allocating to A.I.The brief history of replication funds may already be divided into three waves, the third of which is still in formation. The first wave was about democratization: putting hedge fund strategies in the hands of people who cannot meet the accreditation requirements to invest in hedge funds proper, or ofRead More
REPLICATING FAMOUS HEDGE FUNDS
Apr 21st, 2019 | Filed under: Hedge Fund Strategies, Newly Added, Alternative Beta & Hedge Fund Replication, The A.I. Industry, Hedge Funds
By Nicolas Rabener @Factor Research INTRODUCTION In 1973, the U.S. Food and Drug Administration (FDA) published the first regulations that required the nutrition labeling of certain foods as consumers were left in the dark about what they were eating. The regulations evolved and culminated in the widely-recognized nutrition facts panelRead More
Smart Beta Strategy: Aces Australian Scrutiny
Jan 10th, 2016 | Filed under: CAPM / Alpha Theory, Alpha & Beta, Financial Economics Theory, Newly Added, Alternative Beta & Hedge Fund Replication, Smart Beta, Allocating to A.I., Finance & Economics, Other Topics in A.I.Paul Docherty, a senior lecturer at Newcastle Business School. University of Newcastle, in Australia, has studied the performance of the factors that underlie smart beta portfolios within the equity markets of that country. On the basis of a long time-series of data, Docherty has concluded that four such factors “allRead More
A Curtain Opener for the Australia Forum
Sep 13th, 2015 | Filed under: Performance, Analytics & Metrics, Hedge Fund Regulation, Alternative Beta & Hedge Fund ReplicationPaul Chadwick, chairman of AIMA Australia, says that the hedge fund industry in Australia is at an "inflection point." Faille reflects on that ubiquitous expression, and then turns to Australia's new Investment Manager Regime. Read More
A New Index: The Eurekahedge 50
Jun 1st, 2015 | Filed under: Portable Alpha & Alpha/Beta Separation, Alternative Beta & Hedge Fund Replication, Indexes, Liquid AltsIt appears likely that the new index, the Eurekahedge 50, as well as the daily tracker index that has been built around it, will have aspirational significance. It is designed to set a bar that will be very difficult for other alpha seekers to clear, yet easy for replicators to follow. Read More
A Metaphorical Map that Proposes an Unbound Barbell
Feb 12th, 2015 | Filed under: Hedge Fund Strategies, Alternative Beta & Hedge Fund Replication, Alternative Mutual Funds, Alpha Hunters, Alpha Strategies, Risk management, Asset allocation, Liquid AltsThe hedge fund universe has become a much more complicated place since 2008. The old-school hedge funds offering only quarterly redemptions with at least one month notice are no longer the only option for those seeking alternatives plays. And those who are seeking such plays may be somewhat confused by the proliferation of possibilities. Read More
Hedge Fund Replication: A Re-examination of Two Key Studies
May 1st, 2013 | Filed under: Hedge Fund Industry Trends, Alternative Beta & Hedge Fund ReplicationGuest columnist Andrew Beer re-visits two significant studies on hedge fund replication.Read More
Hedge funds – not the newest new thing in terms of innovation
Jul 11th, 2011 | Filed under: Hedge Fund Industry Trends, Alternative Beta & Hedge Fund Replication, Institutional InvestingCREATE-Research's annual report takes a closer look at innovation, and how a lack of has prompted institutional investors to wise up when it comes to alternative investments. We beg to differ. Read More
Hedge Fund Replication: Indexation & duplication? Estimation & approximation? Or a declaration of innovation?
Jan 24th, 2011 | Filed under: Alternative Beta & Hedge Fund ReplicationMaybe it's about time we dispense with the antiquated notion that "hedge fund replication" is all about actually "replicating" anything.Read More
Researchers try to fix “unreliable” hedge fund measures
Jan 23rd, 2011 | Filed under: Performance, Analytics & Metrics, Alternative Beta & Hedge Fund ReplicationThe ubiquitous Sharpe ratio ignores those pesky "higher moments." But evidently, that's not all it lacks.Read More
Some (not so) random thoughts on the future of the hedge fund industry
Nov 25th, 2010 | Filed under: Hedge Fund Industry Trends, Alternative Beta & Hedge Fund ReplicationIn a paper last spring, Wharton Professor Christopher Geczy reviewed the research and concluded the hedge fund industry does indeed have a future - a future that just may not look much like its past or present.Read More
You can lead an investor to liquid alternative beta, but will they drink?
Jul 1st, 2010 | Filed under: Alternative Beta & Hedge Fund ReplicationA new white paper by Credit Suisse Asset Management suggests liquid alternative beta will soon be as common an investing concept as index-linked investments in the long-only space. Read More
The A’s, B’s, C’s and D’s of hedge funds
May 4th, 2010 | Filed under: Alternative Beta & Hedge Fund ReplicationA 2010 update of a 2006 study on hedge fund alpha shows some interesting changes resulting from the financial crisis. Read More
Japanese researchers argue there are many ways to skin a kat when it comes to hedge fund cloning
Apr 19th, 2010 | Filed under: Alternative Beta & Hedge Fund ReplicationA new paper tries to make an "extension" of the so-called "Kat-Palaro" model of hedge fund replication. According to its authors, it would have worked way better in 2008 (at least for replicating a CTA index).Read More
7 Questions for Adam Patti, CEO of IndexIQ
Feb 7th, 2010 | Filed under: Alternative Beta & Hedge Fund ReplicationBy: Andrew Saunders, Member of the Editorial Board of AllAboutAlpha.com, & Director, EFX Prime Services In January the Wall Street Journal reported that ETF assets had crested $1 trillion. No longer is it simply another way to capture S&P 500 beta. It seems that every day there is an innovativeRead More
A January Tradition: Investors’ love/hate relationship with hedge funds.
Jan 4th, 2010 | Filed under: Retail Investing, Alternative Beta & Hedge Fund ReplicationAs investors reflect on last year, they are apparently of two minds regarding hedge funds.Read More
ETF hedge funds: The Infinite Monkey Theorem
Nov 23rd, 2009 | Filed under: Alternative Beta & Hedge Fund ReplicationIf a monkey hitting keys on a typewriter at random can eventually reproduce Shakespeare's works, can an ETF loosely based on a hedge fund strategy eventually replace a hedge fund manager, and the fees he or she charges?Read More
Recent performance of HF clones shows they “were attractive during the crises of 2008”
Sep 9th, 2009 | Filed under: Alternative Beta & Hedge Fund ReplicationDuring its recent hiatus from the front pages, hedge fund replication may have actually proven its mettle.Read More
With hedge funds back in the black, how are the hedge fund “clones” doing?
Jun 1st, 2009 | Filed under: Alternative Beta & Hedge Fund ReplicationAt least one hedge fund "replicator" has recently been replicating the aspirations, if not the actual experiences of hedge fund managers. Read More
A novel approach to monitoring daily HF returns when they don’t actually exist
Apr 12th, 2009 | Filed under: Alternative Beta & Hedge Fund ReplicationHedge fund replication is now put to a different use by researchers. Call it "assisted hedge fund replication". Read More
Pendulum swinging back to investable hedge fund indices for passive HF exposure
Mar 18th, 2009 | Filed under: Alternative Beta & Hedge Fund ReplicationIt 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. Read More
Look what’s coming back now
Feb 10th, 2009 | Filed under: Alternative Beta & Hedge Fund Replication, 130/30After 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.Read More
Despite ongoing skepticism, two-thirds say they are willing to believe in “hedge fund replication”
Nov 24th, 2008 | Filed under: Alternative Beta & Hedge Fund ReplicationNewly-release government UFO files aren't the only controversy pitting skeptics against "believers" these days...Read More
Comment: The Problem of “Missing Factors” in Hedge Fund Replication
Nov 9th, 2008 | Filed under: Alternative Beta & Hedge Fund ReplicationHedge 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. Read More
Andrew Lo: Hedge fund replication is an “elegant solution in search of a problem”
Sep 23rd, 2008 | Filed under: Alternative Beta & Hedge Fund ReplicationThought 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.Read More
Will “hedge fund replication” benefit from new short selling bans?
Sep 22nd, 2008 | Filed under: Alternative Beta & Hedge Fund ReplicationHedge 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?Read More
Hedge fund clones calling in reinforcements for “attack” on funds of funds
Jul 21st, 2008 | Filed under: Alternative Beta & Hedge Fund ReplicationApparently, hedge fund replication products have banded together with other such "hedge fund clones" under the banner "Pax Clonizatus".Read More
Bill Fung
Jul 15th, 2008 | Filed under: Hall of Fame, Who's Who, Alternative Beta & Hedge Fund Replication, Hedge Fund ResearchersBill Fung Visiting Research Professor at the Centre for Hedge Fund Research and Education, London Business School. Serves on the board of financial services companies in Europe and North America and is currently Chairman of the Board of Directors of the Maple Financial Group, Canada. Homepage/Contact Information (LBS) Research (SSRN)Read More
David Hsieh
Jul 15th, 2008 | Filed under: Hall of Fame, Who's Who, Alternative Beta & Hedge Fund Replication, Hedge Fund ResearchersDavid Hsieh Bank of America Professor of Finance, Fuqua School of Business, Duke University. Homepage (Duke) Research (SSRN), Research (Duke) Recent Course Syllabus (Duke) Relevant Postings (AllAboutAlpha.com)
Harry Kat
Jul 15th, 2008 | Filed under: Hall of Fame, Who's Who, Alternative Beta & Hedge Fund Replication, Hedge Fund ResearchersHarry Kat Professor of Risk Management at the Cass Business School at City University, London. Before returning to academia, he was Head of Equity Derivatives Europe at Bank of America in London, Head of Derivatives Structuring and Marketing at First Chicago in Tokyo and Head of Derivatives Research at MeesPiersonRead More
Narayan Naik
Jul 15th, 2008 | Filed under: Hall of Fame, Who's Who, Alternative Beta & Hedge Fund Replication, Hedge Fund ResearchersNarayan Naik Director of BNP Paribas Hedge Fund Centre, London Business School Faculty Profile (LBS) Research (SSRN) Relevant Postings (AllAboutAlpha.com)
Virtual private equity a step closer to reality
Jun 23rd, 2008 | Filed under: Private Equity, Alternative Beta & Hedge Fund ReplicationApparently not content to just clone hedge funds, State Street has now turned its sites to cloning private equity funds.Read More
Goldman’s new “A.R.T.” HF-Replication-Mutual-Fund
Jun 22nd, 2008 | Filed under: Alternative Beta & Hedge Fund ReplicationAfter launching a "hedge fund replication" index last year, Goldman has now built a mutual fund around it. So whither "long-only replication"? Read More
Silos, flesh wounds, the “disintermediation” of poultry, and a call to action
Jun 4th, 2008 | Filed under: Hedge Fund Industry Trends, Alternative Beta & Hedge Fund Replication, FeesExperts 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.Read More
New 130/30 and “hedge fund replication” mandates bridge gap between alts and skeptical pensions
May 20th, 2008 | Filed under: Hedge Fund Industry Trends, Alternative Beta & Hedge Fund Replication, 130/30In another big win for emerging alpha-centric strategies, part of Sweden's national pension has bought into "hedge fund replication". What's really behind the decision? Read More