Browsing: Alternative Beta & Hedge Fund Replication

Alternative Beta & Hedge Fund Replication

Chalk another one up for the Transatlantic Trio

Mar 19th, 2008 | Filed under: Alternative Beta & Hedge Fund Replication

State Street's recent win of a $200 million hedge fund replication mandate is notable both due to its size and due to its intellectual inspiration.Read More


Alpha-centric Newsreel

Mar 14th, 2008 | Filed under: Hedge Fund Industry Trends, Performance, Analytics & Metrics, Alternative Beta & Hedge Fund Replication, 130/30

Here is a sample of the news stories we didn’t get a chance to explore in detail this week.  As usual, all of them can be found on the Alpha-ticker above or in the news items section of AllAboutAlpha.com (free registration may be required for a few of these). MorganRead More


Oh, to be a fly-on-the-wall at the recent HF replication conference.

Mar 11th, 2008 | Filed under: Alternative Beta & Hedge Fund Replication

Our intrepid "fly on the wall" buzzed into London for a major conference on hedge fund replication. He reports from his fly-sized Blackberry.Read More


Shadwick to Quants: “Financial models should come with health warnings!”

Mar 9th, 2008 | Filed under: Performance, Analytics & Metrics, Alternative Beta & Hedge Fund Replication

Dr. William Shadwick, developer of the Omega Function used in risk management, warns that "over-modeling" has "negative consequences"Read More


Kat to Jaeger: “Let’s skip the nitpicking…how useful is modern finance theory, really?”

Mar 5th, 2008 | Filed under: Alternative Beta & Hedge Fund Replication

In the latest in their ongoing debate, Harry Kat questions Lars Jaeger's reliance on modern finance - a field he calls "utterly disappointing". Read More


Jaeger Replies to Kat’s Scepticism on Alternative Beta

Feb 26th, 2008 | Filed under: Alternative Beta & Hedge Fund Replication

Lars Jaeger says that Harry Kat's scepticism of alternative beta is based on a number of "inconsistencies" and mathematical short-cuts.Read More


Kat: HF replication using alternative betas very useful but sounds better on paper than in practice

Feb 20th, 2008 | Filed under: Alternative Beta & Hedge Fund Replication

Guest contributor Professor Harry Kat examines the creation of alternative beta using mechanical trading rules. Read More


AAA Exclusive: Survey contains some surprises about how hedge fund managers now view hedge fund replication

Feb 18th, 2008 | Filed under: Alternative Beta & Hedge Fund Replication

Our exclusive survey of hedge fund managers, investors and consultants reveals how "hedge fund replication" is actually being embraced by some hedge funds.Read More


Replicating Hedge Funds: Traditional beta or alternative beta?

Feb 14th, 2008 | Filed under: Alternative Beta & Hedge Fund Replication

Partners Group's Lars Jaeger says that although you could have replicated hedge funds using equity beta over the past 4 years, "alternative beta" is still where it's at.Read More


AAA Exclusive: An interview with Prof. Harry Kat about his newest project, “super-diversification”

Feb 11th, 2008 | Filed under: Alternative Beta & Hedge Fund Replication

A European hedge fund manager announced today that it will be using Prof. Harry Kat's "FundCreator" software as a risk management tool. Kat says it's not about "replication" any more.Read More


Hedge Fund Replication: Delicacy or a bunch of baloney?

Jan 30th, 2008 | Filed under: Alternative Beta & Hedge Fund Replication

We’ve been writing about hedge fund “replication” for a while and tracking the latest news on this topic.  Now it’s your turn to sound off on the issue.  Is it a genuine threat to the hedge fund industry or is it a sad attempt to discredit hedge funds?  Or isRead More


AAA Exclusive: An Interview with Managers of the World’s Newest Hedge Fund Replication Product

Jan 17th, 2008 | Filed under: Alternative Beta & Hedge Fund Replication

Another major player entered the hedge fund replication game today with a product based on technologies previously used in the machine learning and missle defense industries.Read More


“Homemade Hedge Funds”: Delicious but deadly?

Jan 8th, 2008 | Filed under: CAPM / Alpha Theory, Alternative Beta & Hedge Fund Replication

There is a lot of talk about how hedge fund returns can be "replicated" using liquid derivatives, swaps, futures, and "exotic beta". But what about good old-fashioned ETFs? Read More


Now “Private Equity Replication”?

Dec 17th, 2007 | Filed under: Private Equity, Alternative Beta & Hedge Fund Replication

If hedge fund indices can apparently be replicated using traditional risk factors such as equity risk, why can't private equity funds? Read More


Walking the (Beta) Line

Dec 4th, 2007 | Filed under: Alternative Beta & Hedge Fund Replication

Like Johnny Cash, are hedge funds also "walking the line" by staying true to their mandate to produce alpha?Read More


Edhec hedge fund replication research now online

Dec 2nd, 2007 | Filed under: Alternative Beta & Hedge Fund Replication

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 sinceRead More


Do individual hedge funds really contain so much beta?

Nov 22nd, 2007 | Filed under: Alternative Beta & Hedge Fund Replication

One of our favorite institutional asset managers makes familiar argument this week about the high correlation between run of the mill betas and hedge fund indices.Read More


Alpha, once beatified, now “beta-fied”

Oct 29th, 2007 | Filed under: Alternative Beta & Hedge Fund Replication

Hedge funds have traditionally eked out a living by exploiting market inefficiencies to deliver alpha. But it seems that hedge funds have now also become an important source of "alternative beta". Read More


Siegel: Carefully selecting “exotic betas” a worthwhile pursuit

Oct 24th, 2007 | Filed under: Alternative Beta & Hedge Fund Replication

AllAboutAlpha.com welcomes a special guest posting from one of the big names in institutional asset management, Laurence Siegel of the Ford Foundation. Here's what he has to say about "exotic beta".Read More


Paying Tribute to the Clones

Oct 23rd, 2007 | Filed under: Alternative Beta & Hedge Fund Replication

France's Edhec business school published a succinct summary of hedge fund replication offerings last week. It's well worth the read - especially if you're a Jedi knight. Read More


New paper claims humans required to manage hedge funds

Oct 7th, 2007 | Filed under: Hedge Fund Industry Trends, Alternative Beta & Hedge Fund Replication

What's the difference between a hedge fund clone and a real hedge fund? Humans, according to Boston University's Jonathan Treussard. But how much human capital is too much? Read More


Alternative Viewpoints: Being like Jesse James

Sep 30th, 2007 | Filed under: Alternative Beta & Hedge Fund Replication, CAIA Alternative Viewpoints

CAIA Association member, Ryan Teal, says hedge funds ought to take inspiration from Jesse James when addressing hedge fund replication, "Do you want to be LIKE me? Or do you want to BE me?"Read More


Kat rebuts itemized list of criticisms over his approach

Sep 30th, 2007 | Filed under: Alternative Beta & Hedge Fund Replication

At a conference last week, Professor Harry Kat of hedge fund replication fame presented a list of his specific rebuttals to 10 criticisms. He added the audience's feedback to a new article on distributional replication. Read More


Hedge fund replicas did their job in August, unfortunately

Sep 28th, 2007 | Filed under: Alternative Beta & Hedge Fund Replication

Professor Bill Fung presented some interesting charts in Geneva showing the performance of various hedge fund replication strategies during the tumultuous summer months. Unfortunately, it looks like hedge fund replicators replicated August pretty well.  Here is the game tape: But what’s particularly striking about this performance graph, aside from the drawdown,Read More


Day Two in Geneva: black swans, a new way to clone and new research on persistence

Sep 27th, 2007 | Filed under: Alternative Beta & Hedge Fund Replication

Day 2 of Terrapinn's Hedge Fund Replication & Alternative Beta conference in Geneva saw black swans, persistence and virgin beta.Read More


Overheard at the President Wilson

Sep 26th, 2007 | Filed under: Alternative Beta & Hedge Fund Replication

Here are a few more tidbits from the Hotel President Wilson here in Geneva… “I’m thinking about launching an index fund of replicated hedge fund index funds!” – John Godden, IGS Group, jokes about a fund of funds to replicate the replicators “Alternative beta is like sex in high school.  EveryoneRead More


Hedge Fund Replication: Day One Re-cap

Sep 26th, 2007 | Filed under: Alternative Beta & Hedge Fund Replication

Day 1 of the Hedge Fund Replication & Alternative Beta conference in Geneva was a rip-roaring juggernaut of financial excitement. If you missed it, we've got all the gory details... Read More


Heard by the waters of Lake Geneva

Sep 25th, 2007 | Filed under: Alternative Beta & Hedge Fund Replication

Heard on the floor at Terrapinn’s “Hedge Fund Replication & Alternative Beta” conference in Geneva so far today… “His trading process may be “naive”, but his fees sure aren’t!” – Professor Harry Kat on the hedge fund replication strategy pursued by another well-known firm. “The asset information submitted to any ofRead More


Fung & Hsieh: Someone definitely yelled “Fire!” in the theater. The question is: what movie were they watching?

Aug 20th, 2007 | Filed under: Alternative Beta & Hedge Fund Replication

Anecdotal evidence suggests quant funds were all sitting together when pandemonium recently broke out.Read More


Kat: HF Replication is an illusion that will never stick

Aug 12th, 2007 | Filed under: Alternative Beta & Hedge Fund Replication

Not content to spend the summer idly relaxing at the beach, 'The Flying Dutchman' Professor Harry Kat, speaks out about what he sees as continuing misconceptions concerning hedge fund replication. Read More


Muggles looking for Hogwarts: The State of Hedge Fund Replication

Aug 5th, 2007 | Filed under: Alternative Beta & Hedge Fund Replication

With hedge fund risk on all of our minds these days, we invite former hedge fund risk manager Tammer Kamel to comment on hedge fund replicators. Apparently, he's unconvinced of their wizardry. Read More


Merrill: Hedge Fund Replication the “Solution” for Hedge Fund Newbies

Jul 29th, 2007 | Filed under: Hedge Fund Industry Trends, Alternative Beta & Hedge Fund Replication

A recent Merrill Lynch report suggested that hedge fund replication is a solution to the common fear of "headline risk" from investing in hedge funds that blow up. Read More


Manager finds factor-replication “blunt” and distributional-replication “suspiciously opaque” – advocates mechanical trading instead

Jul 19th, 2007 | Filed under: Alternative Beta & Hedge Fund Replication

Apparently, the "good old fashioned Kat fight" we predicted yesterday has already begun.Read More


Modified Kat-Palaro HF replication model heralds entry of major new competitor

Jul 18th, 2007 | Filed under: Alternative Beta & Hedge Fund Replication

A new paper has just been released on "distributional" hedge fund replication. But it's not from the method's original developer, Harry Kat. It proposes some improvements and heralds the entry of a new player in this space.Read More


AllAboutAlpha Special Guest Posting by Harry Kat

Jul 1st, 2007 | Filed under: Hedge Fund Industry Trends, Alternative Beta & Hedge Fund Replication

Alpha Male takes a break and turns the mic over to guest poster Professor Harry Kat who explores the commonly-cited phenomenon of hedge fund capital preservation during the 00-03 bear market. Was it alpha?Read More


New Edhec HF Replication Research in Limited Release Today

Jun 27th, 2007 | Filed under: Alternative Beta & Hedge Fund Replication

Edhec Risk and Asset Management Research Centre released its latest research into hedge fund replication techniques today at a seminar in London. Its verdict: "attractive" but "unsatisfying". Read More


Recent Forbes’ hedge fund article latest in a proud lineage

Jun 18th, 2007 | Filed under: Alternative Beta & Hedge Fund Replication

Forbes "Build Your Own Hedge Fund" story this week is the latest in a rich lineage of similarly populist articles. Read More


Quick Note on Northwater Replication Paper

Jun 6th, 2007 | Filed under: Alternative Beta & Hedge Fund Replication

That recent paper from Northwater Capital on hedge fund replication techniques has garnered a lot of interest and is quickly becoming one of our most downloaded documents ever.  But we’ve also had a few queries regarding where to download the document.  Unless you’re a client of Northwater’s, you can only find the paper here atRead More


AllAboutAlpha Exclusive: New Northwater study finds HF replication techniques to be “limited”

May 31st, 2007 | Filed under: Alternative Beta & Hedge Fund Replication

The hedge fund industry has taken it on the chin from "hedge fund replicators". But a new study finds evidence that hedge funds might produce value after all. Read More


New Deutsche Bank hedge fund replication offering gets both laurels and darts

May 28th, 2007 | Filed under: Alternative Beta & Hedge Fund Replication

Deutsche Bank's new Absolute Return Beta Index is apparently trying to take a different tack than its competition. Unfortunately, however, it may face the same headwinds.Read More


The hedge fund metric that cried wolf

May 20th, 2007 | Filed under: Performance, Analytics & Metrics, Alternative Beta & Hedge Fund Replication

In a follow-up to our posting on kurtosis (a.k.a. "fat tails"), Alpha Male chats with William Shadwick, winner of the Investment Managament Consultant's Association 2007 Journalism Award for his unique take on tail risk.Read More