Browsing: Alternative Beta & Hedge Fund Replication

Alternative Beta & Hedge Fund Replication

Kat Launches New Broadside on Hedge Fund Replicators

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

Professor Harry Kat of the Cass Business School at City University, London, has been a thorn in the side of the hedge fund industry for several years now.  And today (April 30), he released his latest attack on the sector, reserving his sharpest barbs for the hedge fund replicators themselves. Read More


Why hedge fund replication might be giving you a deja vu

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

Bill Fung and David Hsieh write in the Banque de France's bi-monthly "Financial Stability Review" that hedge fund replication should eventually reduce hedge fund management fees. Read More


EVENT: Alternative Beta & Hedge Fund Replication USA

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

Location: New York Dates: October 29-31, 2007 Organized by: Terrapinn Hedge funds aren’t the only thing replicating these days. February’s wildly successful “Alternative Beta & Hedge Fund Replication” conference in London has replicated itself – spawning two additional events within the course of a year. Both carry the same titleRead More


Hedge Funds: Myths & Facts

Apr 22nd, 2007 | Filed under: Hedge Fund Industry Trends, Alternative Beta & Hedge Fund Replication

Ed Easterling, author and adjunct faculty at Southern Methodist University’s Cox School of Business writes a handy paper on "hedge fund myths". A must read for those seeking balance in hedge fund reporting.Read More


Bridgewater: Hedge fund leverage now at levels not seen since LTCM

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

Bridgewater is the quintessential "alpha-centric" investor. But in this note, it argues that hedge funds are overly leveraged, replicatable using simple factors, and unlikely to perform when risk increases.Read More


L’habitant: “Majority of hedge funds selling beta at the price of alpha”

Apr 17th, 2007 | Filed under: Alternative Beta & Hedge Fund Replication

Edhec Business School researcher and hedge fund practitioner, Francois-Serge L'habitant doesn't mince words regarding hedge fund replication.Read More


Schneeweis on Alpha, the SEC and Hedge Fund Replication

Apr 11th, 2007 | Filed under: CAPM / Alpha Theory, Hedge Fund Industry Trends, Hedge Fund Regulation, Alternative Beta & Hedge Fund Replication

In this second half of AllAboutAlpha's recent interview with The Editor of the Journal of Alternative Investments, we ask Prof. Schneeweis about Alpha, hedge fund replication and the SEC.Read More


What’s it, All About Alpha.

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

The Economist continues its glacial progression toward acceptance of hedge funds. Check out this week's edition for a column on hedge fund factor replication - or click below.Read More


Professor Harry Kat Responds to EDHEC Study on Hedge Fund Replication

Mar 15th, 2007 | Filed under: Alternative Beta & Hedge Fund Replication

After yesterday’s story on EDHEC’s new hedge fund replication research, we were curious about Harry Kat’s take. With some cajoling by us, Professor Kat responds below By: Prof. Harry Kat, Cass Business School, City University (London) In a recent interview published at All About Alpha and a research paper presentedRead More


EDHEC Presents Much-Anticipated Hedge Fund Replication Study in Geneva

Mar 13th, 2007 | Filed under: Alternative Beta & Hedge Fund Replication

Hedge Fund Replication: Old theory, new interest, inconclusive results Consultant and journalist Pierre Saint-Laurent* continues his coverage of EDHEC’s Asset Management Days in Geneva this week for All About Alpha.  On Tuesday, he attended a much anticipated presentation on hedge fund replication featuring researchers Noël Amenc, Jean-Christophe Meyfredi, François-Serge Lhabitant andRead More


All About Alpha Exclusive: An interview with EDHEC’s Lionel Martellini

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

A Martini with Martellini Consultant and journalist Pierre Saint-Laurent* covers EDHEC’s Asset Management Days in Geneva this week for All About Alpha.  On Monday, he sat down with EDHEC’s Lionel Martellini to have a frank discussion about hedge fund replication in advance of Martellini’s much anticipated presentation on Tuesday. Martellini, one ofRead More


Kat: Why Accurately Replicated Hedge Fund Indices Won’t Do You Much Good

Mar 3rd, 2007 | Filed under: Alternative Beta & Hedge Fund Replication

“Kat’s Meow” – An occasional guest column for AllAboutAlpha By: Professor Harry Kat, Cass Business School, City University (London) Judging by the number of investment banks and asset managers jumping on the bandwagon, the media attention and the number of forthcoming conferences on the subject, hedge fund replication has definitelyRead More


State Street MD on hedge replication model: “I was shocked the explanatory power was so high”

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

Meanwhile Hedge Fund Sector Returns Can be Synthesized By: Alex Dunnin, Financial Standard Published: February 26, 2007 State Street Global Advisors looks to be the next major player to enter the hedge fund replication business.  Paul Brakke, Senior Managing Director at SSgA is down under this week pitching pensions onRead More


What About “Mutual Fund Replication”?

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

We’ve covered a lot of developments in the so-called “hedge fund replication” field.  But switching gears now, we’d like to look at what amounts to “mutual fund replication”.  Sure, hedge funds aim to provide a high proportion of alpha in their returns, but hedge funds don’t have a monopoly on alpha.  InRead More


Hedge Fund Replication: Thoughts from the "Engine Room"

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

A senior executive with a multi-billion dollar hedge fund firm writes us with reflections on last week’s “Hedge Fund Replication and Alternative Beta” conference in London. Dear (Alpha Male), …a few thoughts regarding the wonderful world of replication: 1) Just what is being replicated? My understanding – limited so farRead More


Flying Dutchman Portends Doom for Hedge Fund Industry

Feb 13th, 2007 | Filed under: Alternative Beta & Hedge Fund Replication

The Flying Dutchman is a legendary ghost ship that is believed to be a sign of imminent doom for mariners.  This fact is surely not lost on Dutchman Harry Kat, who today flew into London’s Landmark Hotel and launched a blistering attack on hedge funds at major hedge fund conference – questioning theRead More


Conference Notebook (Day Two)

Feb 13th, 2007 | Filed under: Alternative Beta & Hedge Fund Replication

Global Risk Appetite: The mother of all betas? One rainy day in 1997, Jonathan Wilmot, Chief Global Strategist at Credit Suisse became frustrated with using simple equity risk premiums as a proxy for global risk appetite. He wondered if he could better measure our inherent appetite for risk. Out ofRead More


Movie Stars, Super Models, and Alternative Beta

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

The worlds of filmmaking, fashion and finance converge on London this week. Dame Helen Mirren was crowned queen of the world at last night’s BAFTA awards (Britain’s Oscars), London Fashion Week has flooded this city with (highly controversial) size-zero models, and Professor Bill Fung presides over IRC’s Hedge Fund Replication andRead More


Alternative Beta Conference Notebook

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

ART, meet ABI… Picking up on Goldman Sach’s Absolute Return Tracker and Merrill Lynch’s Equity Volatility Arbitrage Index, JPMorgan is now in the hedge fund replication game. Their new Alternative Beta Index now adds ABI to ART and “EVAI” in the hedge fund replication lexicon. The product was developed withRead More


Hedge fund replication is “imitation crab meat” according to major hedge fund company

Feb 9th, 2007 | Filed under: Alternative Beta & Hedge Fund Replication

Apparently, there are different takes on hedge fund replication – as evidenced by the contrasting views of AlphaSwiss Group and Professor Harry Kat.   But a vigilent reader of AllAboutAlpha recently sent us the Q4 investor letter from a prominent fund of hedge funds company that contained a third point ofRead More


AlphaSwiss Group to Harry Kat: Not So Fast…

Feb 7th, 2007 | Filed under: Alternative Beta & Hedge Fund Replication

Special to AllAboutAlpha.com By: Maurus Bossi, Chairman & CEO, AlphaSwiss Group We have been reading your blog with interest and we think that we might also be able to add some thoughts on the discussion about alternative beta. We also think that our view is quite different from the hedge fundRead More


Alternative Beta: Old Wine in New Bottles

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

By: Guest Contributor to AllAboutAlpha, Professor Harry Kat, Cass Business School, City University (London) February 4, 2007 – Currently, there is a lot of talk among investment practitioners about “Alternative Beta”, with the latter roughly defined as the return derived from exposure to “alternative” risk sources. The way in which AlternativeRead More


Bill Fung’s Alpha/Beta Slides from Last Year’s GAIM Conference

Jan 21st, 2007 | Filed under: Alternative Beta & Hedge Fund Replication

While some of you get ready for a week of “hard work” in Boca Raton at the 2007 GAIM USA Conference, those of you staying put might be interested in reading Professor Bill Fung’s slides from last years event (entitled “The Search for Alpha“).  Naturally, they don’t make a ton of sense without hisRead More


Professor Harry Kat Speaks Out: Hedge Fund “Replication” a Misnomer

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

Professor Harry Kat of City University, London has the hedge fund industry in a tizzy about what has become known as his hedge fund “replication” technique.  Today, he straightens out the record with the following statement: “Since the launch of FundCreator we have received various emails from people who, putRead More


Hedge replication strategies set for 2007 breakthrough year, says Partners Group

Jan 16th, 2007 | Filed under: Alternative Beta & Hedge Fund Replication

By: HedgeWeek Published: January 12, 2007 Hedge fund uber-guru Lars Jaeger seems to be at odds with the industry he helped create.  He tells HedgeWeek.com that hedge fund replication strategies are a close-enough approximation of hedge funds – and much cheaper.  Says HedgeWeek: “According to Dr Lars Jaeger, who isRead More


Alternative Beta & Hedge Fund Replication: Bibliography

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

The past few months have seen a flurry of articles about “Alternative Beta” and “Hedge Fund” replication.  We’ve posted on a few of them.  But at risk of over-doing it, we left a number of interesting articles on the cutting room floor.  Thankfully, conference company IRC has collected many of these into one place inRead More


‘Synthetic’ hedge funds an alternative investment

Dec 18th, 2006 | Filed under: Alternative Beta & Hedge Fund Replication

By: Riva Froymovich, Investment News Published: December 18, 2006 For those getting up to speed on synthetic hedge funds, this is a good read.  The story argues that proponents of hedge fund replication say that: “The funds are cheaper than hedge funds and provide investors with more transparency and liquidity, said proponentsRead More


Attack of the Clones (Again)

Dec 6th, 2006 | Filed under: Alternative Beta & Hedge Fund Replication

By: Marc Hogan, Business Week Published: December 4, 2006 It’s official!  We’ve run out of colourful headlines about hedge fund “clones”.  What was once a headline editor’s dream has quickly become a clone itself.  (see “An attack of the clones could spell end of 2 and 20” – Nov. 15).  Hedge FundRead More


Superstars or Average Joes? A Replication-Based Performance Evaluation Of 1917 Individual Hedge Funds

Nov 30th, 2006 | Filed under: Alternative Beta & Hedge Fund Replication

By: Harry Kat & Helder Palaro, Cass Business School, City University London Published: February 3, 2006 This paper is the third and final installment of our “Harry Kat Trilogy” this week.  In it, Kat & Palaro apply their methodology to individual hedge funds (as opposed to funds of funds as they didRead More


Who Needs Hedge Funds? A Copula-Based Technique for Hedge Fund Replication

Nov 28th, 2006 | Filed under: Alternative Beta & Hedge Fund Replication

By: Harry Kat & Helder Palaro, Cass Business School, City University London Published: November 23, 2005 Kat & Palaro’s hedge fund replication technique was first introduced in this 2005 paper.  In it, they chronicle the performance-fueled genesis of today’s hedge fund industry and then juxtapose this against the recent trend toward hedge fundsRead More


Synthetic Funds and the Mongolian Barbeque

Nov 26th, 2006 | Filed under: Alternative Beta & Hedge Fund Replication

By: Harry Kat & Helder Palaro, Cass Business School, City University London Published: August 7, 2006 As we’ve recently noted, one of the spiritual leaders of the emerging “hedge fund cloning movement” is Professor Harry Kat of the Cass Business School at City University in London. Professor Kat has written aRead More


Hedge Fund Cloning to “Turn Industry Upside Down”

Nov 23rd, 2006 | Filed under: Alternative Beta & Hedge Fund Replication

International hedge fund celebrity, Lars Jaegar (see research) told Dailyii on Tuesday that hedge fund cloning could have a “dramatic effect” on the industry.  He went on to say “This is going to turn the industry upside down”. MIT’s Andrew Lo (see research) agrees, telling FT his cloning process aims “toRead More


DJI plans hedge fund ‘clone’ launch

Nov 14th, 2006 | Filed under: Alternative Beta & Hedge Fund Replication

By: Steve Johnson, FT.com Published: November 13, 2006 It was bound to happen.  According to FT, Dow Jones is planning a hedge fund clone so we can invest “without having to pay the high fees demanded by the industry, typically a 2 per cent annual fee and a 20 per cent performanceRead More


Hedge Funds: Performance, Risk and Capital Formation

Nov 3rd, 2006 | Filed under: Alternative Beta & Hedge Fund Replication

By: Wiliam Fung, London Business School; David Hsieh, Duke University; Narayan Y. Naik, London Business School; Tarun Ramadorai, University of Oxford Published: July 16, 2006        This paper analyses funds of hedge funds and has been widely circulated due to its conclusion that hedge fund alpha is shrinking.  But itRead More


Can Hedge-Fund Returns Be Replicated?: The Linear Case

Nov 1st, 2006 | Filed under: Alternative Beta & Hedge Fund Replication

By: Jasmina Hasanhodzic & Andrew Lo, MIT Published: August 16, 2006   This is a much-cited paper that aims to explain the returns of hedge funds, in aggregate, using several risk factors.  The conclusion: “This raises the possibility of creating passive replicating portfolios or clones using liquid exchange-traded instruments that provideRead More


Send in the clones

Oct 29th, 2006 | Filed under: Alternative Beta & Hedge Fund Replication

By: The Economist Published: October 28, 2006 Maybe Alpha Male wasn’t the only one paying particularly close attention to David Hsieh’s recent opining about “hedge fund beta”.   This week’s Economist cited his research in a story about the rising interest in “cloning” hedge funds using cheap, liquid instruments. “The result could beRead More


Passive vs. Active Investment in Hedge Funds

Oct 26th, 2006 | Filed under: Alternative Beta & Hedge Fund Replication

By: Sandra L. Manzke, MAXAM Capital Management Published: 2006 Here’s a question: is a passive investment in alpha-producing hedge funds an oxymoron? If a return stream can be replicated with a passive investment, then isn’t it beta?  This is certainly the case when it comes to index investing.  But doesn’tRead More


EVENT: Alternative Beta

Oct 26th, 2006 | Filed under: Alternative Beta & Hedge Fund Replication

Organized By: IRC Dates: February 12-14, 2007 Location: London The dynamic duo of William Fung and David Hsieh have been referred to as the “Gilbert & Sullivan” of the hedge fund world – co-authors of seminal works whose broad themes are regularly borrowed by subsequent playwrights.  Well, there’s good newsRead More


Factor Modeling and Benchmarking of Hedge Funds: Can Passive Investment in Hedge Fund Strategies Deliver?

Oct 19th, 2006 | Filed under: Alternative Beta & Hedge Fund Replication

By: Lars Jaeger & Christian Wagner, Partners Group Published: November 7, 2005  This article aims to give reference to this academic effort and provide a coherent discussion on the current status of ‘beta versus alpha’ controversy in the hedge fund industry.  – Jaeger & Wagner  We admit that we’ve beenRead More


Synthetic Hedge Funds?

Jul 11th, 2006 | Filed under: Alternative Beta & Hedge Fund Replication

By: Alpha Male Chris Woods of State Street Global Advisors makes a common argument against hedge funds in an article published on May 3, 2006 – that their returns are driven more by “exotic” or “alternative” beta than they are by alpha.  Ergo, an investor could acheive the same returns moreRead More