Browsing: Alternative Beta & Hedge Fund Replication

Alternative Beta & Hedge Fund Replication

Smart Beta Strategy: Aces Australian Scrutiny

Jan 10th, 2016 | Filed under: Allocating to A.I., Alpha & Beta, Alternative Beta & Hedge Fund Replication, CAPM / Alpha Theory, Finance & Economics, Financial Economics Theory, Newly Added, Other Topics in A.I., Smart Beta

Paul Docherty, a senior lecturer at Newcastle Business School. University of Newcastle, in Australia, has studied the performance of the factors that underlie smart beta portfolios within the equity markets of that country. On the basis of a long time-series of data, Docherty has concluded that four such factors “allRead More


A Curtain Opener for the Australia Forum

Sep 13th, 2015 | Filed under: Alternative Beta & Hedge Fund Replication, Hedge Fund Regulation, Performance, Analytics & Metrics

Paul Chadwick, chairman of AIMA Australia, says that the hedge fund industry in Australia is at an "inflection point." Faille reflects on that ubiquitous expression, and then turns to Australia's new Investment Manager Regime. Read More


A New Index: The Eurekahedge 50

Jun 1st, 2015 | Filed under: Alternative Beta & Hedge Fund Replication, Indexes, Liquid Alts, Portable Alpha & Alpha/Beta Separation

It appears likely that the new index, the Eurekahedge 50, as well as the daily tracker index that has been built around it, will have aspirational significance. It is designed to set a bar that will be very difficult for other alpha seekers to clear, yet easy for replicators to follow. Read More


A Metaphorical Map that Proposes an Unbound Barbell

Feb 12th, 2015 | Filed under: Alpha Hunters, Alpha Strategies, Alternative Beta & Hedge Fund Replication, Alternative Mutual Funds, Asset allocation, Hedge Fund Strategies, Liquid Alts, Risk management

The hedge fund universe has become a much more complicated place since 2008. The old-school hedge funds offering only quarterly redemptions with at least one month notice are no longer the only option for those seeking alternatives plays. And those who are seeking such plays may be somewhat confused by the proliferation of possibilities. Read More


Hedge Fund Replication: A Re-examination of Two Key Studies

May 1st, 2013 | Filed under: Alternative Beta & Hedge Fund Replication, Hedge Fund Industry Trends

Guest columnist Andrew Beer re-visits two significant studies on hedge fund replication.Read More


Hedge funds – not the newest new thing in terms of innovation

Jul 11th, 2011 | Filed under: Alternative Beta & Hedge Fund Replication, Hedge Fund Industry Trends, Institutional Investing

CREATE-Research's annual report takes a closer look at innovation, and how a lack of has prompted institutional investors to wise up when it comes to alternative investments. We beg to differ. Read More


Hedge Fund Replication: Indexation & duplication? Estimation & approximation? Or a declaration of innovation?

Jan 24th, 2011 | Filed under: Alternative Beta & Hedge Fund Replication

Maybe it's about time we dispense with the antiquated notion that "hedge fund replication" is all about actually "replicating" anything.Read More


Researchers try to fix “unreliable” hedge fund measures

Jan 23rd, 2011 | Filed under: Alternative Beta & Hedge Fund Replication, Performance, Analytics & Metrics

The ubiquitous Sharpe ratio ignores those pesky "higher moments." But evidently, that's not all it lacks.Read More


Some (not so) random thoughts on the future of the hedge fund industry

Nov 25th, 2010 | Filed under: Alternative Beta & Hedge Fund Replication, Hedge Fund Industry Trends

In a paper last spring, Wharton Professor Christopher Geczy reviewed the research and concluded the hedge fund industry does indeed have a future - a future that just may not look much like its past or present.Read More


You can lead an investor to liquid alternative beta, but will they drink?

Jul 1st, 2010 | Filed under: Alternative Beta & Hedge Fund Replication

A new white paper by Credit Suisse Asset Management suggests liquid alternative beta will soon be as common an investing concept as index-linked investments in the long-only space. Read More


The A’s, B’s, C’s and D’s of hedge funds

May 4th, 2010 | Filed under: Alternative Beta & Hedge Fund Replication

A 2010 update of a 2006 study on hedge fund alpha shows some interesting changes resulting from the financial crisis. Read More


Japanese researchers argue there are many ways to skin a kat when it comes to hedge fund cloning

Apr 19th, 2010 | Filed under: Alternative Beta & Hedge Fund Replication

A new paper tries to make an "extension" of the so-called "Kat-Palaro" model of hedge fund replication. According to its authors, it would have worked way better in 2008 (at least for replicating a CTA index).Read More


7 Questions for Adam Patti, CEO of IndexIQ

Feb 7th, 2010 | Filed under: Alternative Beta & Hedge Fund Replication

By: Andrew Saunders, Member of the Editorial Board of AllAboutAlpha.com, & Director, EFX Prime Services In January the Wall Street Journal reported that ETF assets had crested $1 trillion. No longer is it simply another way to capture S&P 500 beta. It seems that every day there is an innovativeRead More


A January Tradition: Investors’ love/hate relationship with hedge funds.

Jan 4th, 2010 | Filed under: Alternative Beta & Hedge Fund Replication, Retail Investing

As investors reflect on last year, they are apparently of two minds regarding hedge funds.Read More


ETF hedge funds: The Infinite Monkey Theorem

Nov 23rd, 2009 | Filed under: Alternative Beta & Hedge Fund Replication

If a monkey hitting keys on a typewriter at random can eventually reproduce Shakespeare's works, can an ETF loosely based on a hedge fund strategy eventually replace a hedge fund manager, and the fees he or she charges?Read More


Recent performance of HF clones shows they “were attractive during the crises of 2008″

Sep 9th, 2009 | Filed under: Alternative Beta & Hedge Fund Replication

During its recent hiatus from the front pages, hedge fund replication may have actually proven its mettle.Read More


With hedge funds back in the black, how are the hedge fund “clones” doing?

Jun 1st, 2009 | Filed under: Alternative Beta & Hedge Fund Replication

At least one hedge fund "replicator" has recently been replicating the aspirations, if not the actual experiences of hedge fund managers. Read More


A novel approach to monitoring daily HF returns when they don’t actually exist

Apr 12th, 2009 | Filed under: Alternative Beta & Hedge Fund Replication

Hedge fund replication is now put to a different use by researchers. Call it "assisted hedge fund replication". Read More


Pendulum swinging back to investable hedge fund indices for passive HF exposure

Mar 18th, 2009 | Filed under: Alternative Beta & Hedge Fund Replication

It wasn't long ago that investors were graduating from simple investable hedge fund indices to more sophisticated hedge fund replication products for their passive hedge fund exposure. Now, it seems that "simple" is back as some investors are willing to stomach the high hedge fund fees in exchange for transparency and liquidity. Read More


Look what’s coming back now

Feb 10th, 2009 | Filed under: 130/30, Alternative Beta & Hedge Fund Replication

After being labeled "faddish" and "silly" and being derided as a waste of time last year, short extension and hedge fund replication strategies returned to the news cycle this week.Read More


Despite ongoing skepticism, two-thirds say they are willing to believe in “hedge fund replication”

Nov 24th, 2008 | Filed under: Alternative Beta & Hedge Fund Replication

Newly-release government UFO files aren't the only controversy pitting skeptics against "believers" these days...Read More


Comment: The Problem of “Missing Factors” in Hedge Fund Replication

Nov 9th, 2008 | Filed under: Alternative Beta & Hedge Fund Replication

Hedge fund replication using factor models is a balancing act between using so many factors that the model doesn't hold up in the future, and using so few factors that the model doesn't hold up at all. Read More


Andrew Lo: Hedge fund replication is an “elegant solution in search of a problem”

Sep 23rd, 2008 | Filed under: Alternative Beta & Hedge Fund Replication

Thought leaders in the hedge fund community remained ensconced at the Princeton Club of New York today as they continued to debate the future of their industry.Read More


Will “hedge fund replication” benefit from new short selling bans?

Sep 22nd, 2008 | Filed under: Alternative Beta & Hedge Fund Replication

Hedge funds from the US and Europe met in New York today to discuss ways to discuss "hedge fund replication". Now that shorting financials has been banned, will "replication" be closest thing we'll see to actual hedge funds for the next while?Read More


Hedge fund clones calling in reinforcements for “attack” on funds of funds

Jul 21st, 2008 | Filed under: Alternative Beta & Hedge Fund Replication

Apparently, hedge fund replication products have banded together with other such "hedge fund clones" under the banner "Pax Clonizatus".Read More


Bill Fung

Jul 15th, 2008 | Filed under: Alternative Beta & Hedge Fund Replication, Hall of Fame, Hedge Fund Researchers, Who's Who

Bill Fung Visiting Research Professor at the Centre for Hedge Fund Research and Education, London Business School. Serves on the board of  financial services companies in Europe and North America and is currently Chairman of the Board of Directors of the Maple Financial Group, Canada. Homepage/Contact Information (LBS) Research (SSRN)Read More


David Hsieh

Jul 15th, 2008 | Filed under: Alternative Beta & Hedge Fund Replication, Hall of Fame, Hedge Fund Researchers, Who's Who

David Hsieh Bank of America Professor of Finance, Fuqua School of Business, Duke University.  Homepage (Duke) Research (SSRN), Research (Duke) Recent Course Syllabus (Duke) Relevant Postings (AllAboutAlpha.com)       


Harry Kat

Jul 15th, 2008 | Filed under: Alternative Beta & Hedge Fund Replication, Hall of Fame, Hedge Fund Researchers, Who's Who

Harry Kat Professor of Risk Management at the Cass Business School at City University, London. Before returning to academia, he was Head of Equity Derivatives Europe at Bank of America in London, Head of Derivatives Structuring and Marketing at First Chicago in Tokyo and Head of Derivatives Research at MeesPiersonRead More


Narayan Naik

Jul 15th, 2008 | Filed under: Alternative Beta & Hedge Fund Replication, Hall of Fame, Hedge Fund Researchers, Who's Who

Narayan Naik Director of BNP Paribas Hedge Fund Centre, London Business School Faculty Profile (LBS) Research (SSRN) Relevant Postings (AllAboutAlpha.com)


Virtual private equity a step closer to reality

Jun 23rd, 2008 | Filed under: Alternative Beta & Hedge Fund Replication, Private Equity

Apparently not content to just clone hedge funds, State Street has now turned its sites to cloning private equity funds.Read More


Goldman’s new “A.R.T.” HF-Replication-Mutual-Fund

Jun 22nd, 2008 | Filed under: Alternative Beta & Hedge Fund Replication

After launching a "hedge fund replication" index last year, Goldman has now built a mutual fund around it. So whither "long-only replication"? Read More


Silos, flesh wounds, the “disintermediation” of poultry, and a call to action

Jun 4th, 2008 | Filed under: Alternative Beta & Hedge Fund Replication, Fees, Hedge Fund Industry Trends

Experts ranging from LBS's Narayan Naik to Stanford's Myron Scholes weighed-in on everything from organizational silos to economic first aid in London today.Read More


New 130/30 and “hedge fund replication” mandates bridge gap between alts and skeptical pensions

May 20th, 2008 | Filed under: 130/30, Alternative Beta & Hedge Fund Replication, Hedge Fund Industry Trends

In another big win for emerging alpha-centric strategies, part of Sweden's national pension has bought into "hedge fund replication". What's really behind the decision? Read More


Chalk another one up for the Transatlantic Trio

Mar 19th, 2008 | Filed under: Alternative Beta & Hedge Fund Replication

State Street's recent win of a $200 million hedge fund replication mandate is notable both due to its size and due to its intellectual inspiration.Read More


Alpha-centric Newsreel

Mar 14th, 2008 | Filed under: 130/30, Alternative Beta & Hedge Fund Replication, Hedge Fund Industry Trends, Performance, Analytics & Metrics

Here is a sample of the news stories we didn’t get a chance to explore in detail this week.  As usual, all of them can be found on the Alpha-ticker above or in the news items section of AllAboutAlpha.com (free registration may be required for a few of these). MorganRead More