http://allaboutalpha.com/blog/2007/05/31/allaboutalpha-exclusive-new-northwater-study-finds-hf-replication-techniques-to-be-limited/ 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/2007/05/31/allaboutalpha-exclusive-new-northwater-study-finds-hf-replication-techniques-to-be-limited/comment-page-1/#comment-12595 allaboutalpha.com: Welcome to AllAboutAlpha.com Thu, 28 Jun 2007 03:44:58 +0000 http://allaboutalpha.com/blog/2007/05/31/allaboutalpha-exclusive-new-northwater-study-finds-hf-replication-techniques-to-be-limited/#comment-12595 [...] The report goes on to say that the fundamental flaw with factor replication is the current lack of appropriate non-linear or dynamic factor models.  Meanwhile, the problem with the pay-off distribution approach is that it is “much more about fund design than about hedge fund replication” (a fact which they point out is also acknowledged by its proponents).  In addition, the paper echoes a point raised by Northwater Capital in their recent critique of hedge fund replication techniques - that the returns of a distributional replication are contingent on the choice of inputs (see related posting). [...] [...] The report goes on to say that the fundamental flaw with factor replication is the current lack of appropriate non-linear or dynamic factor models.  Meanwhile, the problem with the pay-off distribution approach is that it is “much more about fund design than about hedge fund replication” (a fact which they point out is also acknowledged by its proponents).  In addition, the paper echoes a point raised by Northwater Capital in their recent critique of hedge fund replication techniques – that the returns of a distributional replication are contingent on the choice of inputs (see related posting). [...]

]]> http://allaboutalpha.com/blog/2007/05/31/allaboutalpha-exclusive-new-northwater-study-finds-hf-replication-techniques-to-be-limited/comment-page-1/#comment-8165 Friday links: imperial shareholders « Abnormal Returns Fri, 01 Jun 2007 18:48:30 +0000 http://allaboutalpha.com/blog/2007/05/31/allaboutalpha-exclusive-new-northwater-study-finds-hf-replication-techniques-to-be-limited/#comment-8165 [...] All About Alpha on the nitty gritty of hedge fund replication strategies. [...] [...] All About Alpha on the nitty gritty of hedge fund replication strategies. [...]

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