Browsing: Alternative Beta & Hedge Fund Replication

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

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

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

Paul 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

It 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

The 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

Guest columnist Andrew Beer re-visits two significant studies on hedge fund replication.Read More

CREATE-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

Maybe it's about time we dispense with the antiquated notion that "hedge fund replication" is all about actually "replicating" anything.Read More

The ubiquitous Sharpe ratio ignores those pesky "higher moments." But evidently, that's not all it lacks.Read More

In 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

A 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

A 2010 update of a 2006 study on hedge fund alpha shows some interesting changes resulting from the financial crisis. Read More

A 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

By: 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

As investors reflect on last year, they are apparently of two minds regarding hedge funds.Read More

If 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

During its recent hiatus from the front pages, hedge fund replication may have actually proven its mettle.Read More

At least one hedge fund "replicator" has recently been replicating the aspirations, if not the actual experiences of hedge fund managers. Read More

Hedge fund replication is now put to a different use by researchers. Call it "assisted hedge fund replication". Read More

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. Read More

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.Read More

Newly-release government UFO files aren't the only controversy pitting skeptics against "believers" these days...Read More

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. Read More

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.Read More

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?Read More

Apparently, hedge fund replication products have banded together with other such "hedge fund clones" under the banner "Pax Clonizatus".Read More

Bill 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 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 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 Director of BNP Paribas Hedge Fund Centre, London Business School Faculty Profile (LBS) Research (SSRN) Relevant Postings (AllAboutAlpha.com)

Apparently not content to just clone hedge funds, State Street has now turned its sites to cloning private equity funds.Read More

After launching a "hedge fund replication" index last year, Goldman has now built a mutual fund around it. So whither "long-only replication"? Read More

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.Read More

In 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