Hedge fund replicas did their job in August, unfortunately
Sep 28th, 2007 | Filed under: Alternative Beta & Hedge Fund ReplicationProfessor Bill Fung presented some interesting charts in Geneva showing the performance of various hedge fund replication strategies during the tumultuous summer months.
Unfortunately, it looks like hedge fund replicators replicated August pretty well. Here is the game tape:
But what’s particularly striking about this performance graph, aside from the drawdown, is the dispersion between replication strategies in August. Looks like they were all performing as planned in June and July – tracking pretty closely to the HFRX Index. Then August hits and wham, they all seem to go their separate ways.
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- With hedge funds back in the black, how are the hedge fund “clones” doing?
- What August says about market neutral funds: not much
Can anyone identify all of these clones, or better yet, provide bloomberg tickers as well ? – They did all diverge from the two HFR indices displayed, but some (most) outperformed during this stress period. I would be interested to see how they have done since.