Comments on: New Edhec HF Replication Research in Limited Release Today http://allaboutalpha.com/blog/2007/06/27/new-edhec-hf-replication-research-in-limited-release-today/ 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 By: Nicolas http://allaboutalpha.com/blog/2007/06/27/new-edhec-hf-replication-research-in-limited-release-today/comment-page-1/#comment-15766 Nicolas Tue, 24 Jul 2007 08:55:01 +0000 http://allaboutalpha.com/blog/2007/06/27/new-edhec-hf-replication-research-in-limited-release-today/#comment-15766 Edhec is very good publishing studies that dismiss others'. However, it is very difficult to replicate exactly what IB have done and even harder the work done by Kat. There is always a secret ingredient in each recipe that makes it hard to "replicate". I also have worked on the linear case using my secret sauce and some results are encouraging. If we were all following what Edhec is saying since the beginning, the entire replication concept wouldn't be alive yet... Edhec is very good publishing studies that dismiss others’. However, it is very difficult to replicate exactly what IB have done and even harder the work done by Kat. There is always a secret ingredient in each recipe that makes it hard to “replicate”.
I also have worked on the linear case using my secret sauce and some results are encouraging.
If we were all following what Edhec is saying since the beginning, the entire replication concept wouldn’t be alive yet…

]]> By: Jerome Abernathy http://allaboutalpha.com/blog/2007/06/27/new-edhec-hf-replication-research-in-limited-release-today/comment-page-1/#comment-13397 Jerome Abernathy Fri, 06 Jul 2007 20:22:25 +0000 http://allaboutalpha.com/blog/2007/06/27/new-edhec-hf-replication-research-in-limited-release-today/#comment-13397 “Since academic attempts to design factor models for hedge fund return replication have so far been unable to generate fully satisfactory results, the recent launch of a number of industry initiatives is perhaps surprising.” Perhaps more suprising is that the authors so casually dismiss the results of so many other researchers. Could it be that the results attained by Goldman, Merrill, JP Morgan, Deutsche, Partners Group, MIT, Stonebrook, and others could actually be correct and Edhec wrong? Such is the problem with such proprietary "research". It isn't subject to peer review so other researchers can't judge it's claims. I, along with others have done the factor-based research and attained markedly different results out-of-sample. I think Edhec needs to revisit their results. “Since academic attempts to design factor models for hedge fund return replication have so far been unable to generate fully satisfactory results, the recent launch of a number of industry initiatives is perhaps surprising.”

Perhaps more suprising is that the authors so casually dismiss the results of so many other researchers. Could it be that the results attained by Goldman, Merrill, JP Morgan, Deutsche, Partners Group, MIT, Stonebrook, and others could actually be correct and Edhec wrong?

Such is the problem with such proprietary “research”. It isn’t subject to peer review so other researchers can’t judge it’s claims.

I, along with others have done the factor-based research and attained markedly different results out-of-sample. I think Edhec needs to revisit their results.

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