http://allaboutalpha.com/blog/2006/11/01/can-hedge-fund-returns-be-replicated-the-linear-case/ Hedge funds, portable alpha, 130/30 and alpha-centric investing Thu, 18 Mar 2010 13:53:53 +0000 http://wordpress.org/?v=abc hourly 1 http://allaboutalpha.com/blog/2006/11/01/can-hedge-fund-returns-be-replicated-the-linear-case/comment-page-1/#comment-13121 allaboutalpha.com: Welcome to AllAboutAlpha.com Wed, 04 Jul 2007 04:47:27 +0000 http://allaboutalpha.com/blog/2006/11/01/can-hedge-fund-returns-be-replicated-the-linear-case/#comment-13121 [...] The first half of the report is a comprehensive and concise review of the last ten years of academic research on the topic of hedge fund alpha and (later) hedge fund replication.  For example, the report’s contention that factor models are less than ”satifying” is backed up by a table showing r-squares in the 30% to 70% range (in-sample), with out-of-sample data being much worse.  The authors then re-run the approach used by Andrew Lo (see related posting) and find similarly “unsatisfying” results.  [...] [...] The first half of the report is a comprehensive and concise review of the last ten years of academic research on the topic of hedge fund alpha and (later) hedge fund replication.  For example, the report’s contention that factor models are less than ”satifying” is backed up by a table showing r-squares in the 30% to 70% range (in-sample), with out-of-sample data being much worse.  The authors then re-run the approach used by Andrew Lo (see related posting) and find similarly “unsatisfying” results.  [...]

]]> http://allaboutalpha.com/blog/2006/11/01/can-hedge-fund-returns-be-replicated-the-linear-case/comment-page-1/#comment-495 All About Alpha » Blog Archives » Alternative Beta: Old Wine in New Bottles Sun, 04 Feb 2007 23:34:16 +0000 http://allaboutalpha.com/blog/2006/11/01/can-hedge-fund-returns-be-replicated-the-linear-case/#comment-495 [...] Hasanhodzic, J. and A. Lo, Can Hedge Fund Returns Be Replicated? The Linear Case, Working Paper MIT Laboratory for Financial Engineering, 2006. (ed: link to AllAboutAlpha posting on this paper) [...] [...] Hasanhodzic, J. and A. Lo, Can Hedge Fund Returns Be Replicated? The Linear Case, Working Paper MIT Laboratory for Financial Engineering, 2006. (ed: link to AllAboutAlpha posting on this paper) [...]

]]> http://allaboutalpha.com/blog/2006/11/01/can-hedge-fund-returns-be-replicated-the-linear-case/comment-page-1/#comment-84 All About Alpha » Blog Archives » Hedge Fund Cloning to “Turn Industry Upside Down” Fri, 24 Nov 2006 02:32:30 +0000 http://allaboutalpha.com/blog/2006/11/01/can-hedge-fund-returns-be-replicated-the-linear-case/#comment-84 [...] MIT’s Andrew Lo (see research) agrees, telling FT his cloning process aims “to threaten existing hedge funds that disguise beta as alpha.” [...] [...] MIT’s Andrew Lo (see research) agrees, telling FT his cloning process aims “to threaten existing hedge funds that disguise beta as alpha.” [...]

]]> http://allaboutalpha.com/blog/2006/11/01/can-hedge-fund-returns-be-replicated-the-linear-case/comment-page-1/#comment-65 All About Alpha » Blog Archives » Norges chief slams “disguised beta” hedge funds Sat, 04 Nov 2006 16:32:04 +0000 http://allaboutalpha.com/blog/2006/11/01/can-hedge-fund-returns-be-replicated-the-linear-case/#comment-65 [...] Can Hedge-Fund Returns Be Replicated?: The Linear Case [...] [...] Can Hedge-Fund Returns Be Replicated?: The Linear Case [...]

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