Comments on: All About Alpha Exclusive: An interview with EDHEC’s Lionel Martellini http://allaboutalpha.com/blog/2007/03/12/all-about-alpha-exclusive-an-interview-with-edhecs-lionel-martellini/ Hedge funds, portable alpha, 130/30 and alpha-centric investing Fri, 19 Mar 2010 07:52:26 +0000 http://wordpress.org/?v=abc hourly 1 By: allaboutalpha.com: Welcome to AllAboutAlpha.com http://allaboutalpha.com/blog/2007/03/12/all-about-alpha-exclusive-an-interview-with-edhecs-lionel-martellini/comment-page-1/#comment-12594 allaboutalpha.com: Welcome to AllAboutAlpha.com Thu, 28 Jun 2007 03:42:17 +0000 http://allaboutalpha.com/blog/2007/03/12/all-about-alpha-exclusive-an-interview-with-edhecs-lionel-martellini/#comment-12594 [...] Overall, we find it to be a very good survey of the state of the replication field.  In the words of the authors, Noel Amenc, Walter Gehin, Lionel Martellini (Hall of Fame, related posting), and Jean-Christophe Meyfredi: “The purpose of this position paper is to provide an in-depth analysis of the subject, with an emphasis on the findings based on the last ten years of academic research on hedge fund performance analysis and replication, and a discussion of the implementation challenges related to a commercial offering based on these concepts.” [...] [...] Overall, we find it to be a very good survey of the state of the replication field.  In the words of the authors, Noel Amenc, Walter Gehin, Lionel Martellini (Hall of Fame, related posting), and Jean-Christophe Meyfredi: “The purpose of this position paper is to provide an in-depth analysis of the subject, with an emphasis on the findings based on the last ten years of academic research on hedge fund performance analysis and replication, and a discussion of the implementation challenges related to a commercial offering based on these concepts.” [...]

]]> By: pb273 http://allaboutalpha.com/blog/2007/03/12/all-about-alpha-exclusive-an-interview-with-edhecs-lionel-martellini/comment-page-1/#comment-1631 pb273 Wed, 14 Mar 2007 21:24:05 +0000 http://allaboutalpha.com/blog/2007/03/12/all-about-alpha-exclusive-an-interview-with-edhecs-lionel-martellini/#comment-1631 Regarding the approaches to Hedge Fund Replication, Martellini describes two approaches - factor based and payoff replication but missed out one of the best strategy - actual trade replication i.e. creating an index of the basic trade itself. E.g. the ML Volatility Arbitrage Index or Mitchell Pulvino Merger Arbitrage Index and similar the DB G10 Currency ETF Fund (FX Carry Trades) so on etc. Expect far more on the Actual Trade Replication as the basic Hedge Fund Trades get "Index"ified! Regarding the approaches to Hedge Fund Replication, Martellini describes two approaches – factor based and payoff replication but missed out one of the best strategy – actual trade replication i.e. creating an index of the basic trade itself. E.g. the ML Volatility Arbitrage Index or Mitchell Pulvino Merger Arbitrage Index and similar the DB G10 Currency ETF Fund (FX Carry Trades) so on etc.

Expect far more on the Actual Trade Replication as the basic Hedge Fund Trades get “Index”ified!

]]> By: All About Alpha » Blog Archives » EDHEC Presents Much-Anticipated Hedge Fund Replication Study in Geneva http://allaboutalpha.com/blog/2007/03/12/all-about-alpha-exclusive-an-interview-with-edhecs-lionel-martellini/comment-page-1/#comment-1628 All About Alpha » Blog Archives » EDHEC Presents Much-Anticipated Hedge Fund Replication Study in Geneva Wed, 14 Mar 2007 14:05:07 +0000 http://allaboutalpha.com/blog/2007/03/12/all-about-alpha-exclusive-an-interview-with-edhecs-lionel-martellini/#comment-1628 [...] All About Alpha Exclusive: An interview with EDHEC’s Lionel Martellini [...] [...] All About Alpha Exclusive: An interview with EDHEC’s Lionel Martellini [...]

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