Alternative Beta & Hedge Fund Replication

European ETFs: Innovations the Key to Growth

Mar 27th, 2014 | Filed under: Academic Research, Alpha Strategies, Alternative Beta & Hedge Fund Replication, ETFs, Infrastructure, Today's Post

The way to keep growing is to keep changing. For the European ETF market, that means product innovation, from infrastructure funds to smart beta.


Two Unanswered Questions About Alternative Beta

Mar 25th, 2014 | Filed under: Alternative Beta & Hedge Fund Replication, Hedge Fund Strategies, Portable Alpha & Alpha/Beta Separation, Today's Post

Andrew Beer, Beachhead Capital, and AllAboutAlpha.com guest columnist, takes a different look at alternative beta.


Hedge Fund Replication: A Practitioner’s Scorecard

Jan 30th, 2014 | Filed under: Academic Research, Alpha Hunters, Alpha Seekers, Alpha Strategies, Alternative Beta & Hedge Fund Replication, Hedge Fund Operations and Risk Management, Hedge Fund Strategies, Today's Post

Andrew Beer looks at hedge fund replication to see if it works.


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

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

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


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, Today's Post

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.


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

Jan 24th, 2011 | Filed under: Academic Research, Alternative Beta & Hedge Fund Replication, Today's Post

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


Researchers try to fix “unreliable” hedge fund measures

Jan 23rd, 2011 | Filed under: Academic Research, Alternative Beta & Hedge Fund Replication, Performance, Analytics & Metrics, Today's Post

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


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, Today's Post

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.


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

Jul 1st, 2010 | Filed under: Academic Research, Alternative Beta & Hedge Fund Replication, Today's Post

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.


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

May 4th, 2010 | Filed under: Academic Research, Alternative Beta & Hedge Fund Replication, Today's Post

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


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

Apr 19th, 2010 | Filed under: Academic Research, Alternative Beta & Hedge Fund Replication, Today's Post

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).


7 Questions for Adam Patti, CEO of IndexIQ

Feb 7th, 2010 | Filed under: Alternative Beta & Hedge Fund Replication, Today's Post

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 innovative new investment idea that is [...]


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

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

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


ETF hedge funds: The Infinite Monkey Theorem

Nov 23rd, 2009 | Filed under: Alternative Beta & Hedge Fund Replication, Today's Post

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?


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

Sep 9th, 2009 | Filed under: Alternative Beta & Hedge Fund Replication, Today's Post

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


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

Jun 1st, 2009 | Filed under: Alternative Beta & Hedge Fund Replication, Today's Post

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


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

Apr 12th, 2009 | Filed under: Academic Research, Alternative Beta & Hedge Fund Replication, Today's Post

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


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

Mar 18th, 2009 | Filed under: Alternative Beta & Hedge Fund Replication, Today's Post

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.


Look what’s coming back now

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

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.


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, Today's Post

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


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

Nov 9th, 2008 | Filed under: Academic Research, Alternative Beta & Hedge Fund Replication, Guest Posts, Today's Post

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.


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

Sep 23rd, 2008 | Filed under: Alternative Beta & Hedge Fund Replication, Today's Post

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.


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

Sep 22nd, 2008 | Filed under: Alternative Beta & Hedge Fund Replication, Today's Post

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?


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".


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.


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"?


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

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

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.


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?


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.


Alpha-centric Newsreel

Mar 14th, 2008 | Filed under: 130/30, AAA Newsreels, 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). Morgan Stanley says Alpha/Beta Separation “the [...]


Oh, to be a fly-on-the-wall at the recent HF replication conference.

Mar 11th, 2008 | Filed under: Alternative Beta & Hedge Fund Replication

Our intrepid "fly on the wall" buzzed into London for a major conference on hedge fund replication. He reports from his fly-sized Blackberry.