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The Journal of Alternative Investments

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Primary Article

Replication and Benchmarking of Hedge Funds

Hossein B Kazemi, Feng Tu and Ying Li
The Journal of Alternative Investments Fall 2008, 11 (2) 40-59; DOI: https://doi.org/10.3905/jai.2008.712596
Hossein B Kazemi
A professor of finance at Isenberg School of Management, University of Massachusetts in Amherst, MA.
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  • For correspondence: kazemi@som.umass.edu
Feng Tu
A PhD student at Isenberg School of Management, University of Massachusetts in Amherst, MA.
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  • For correspondence: lytufeng@gmail.com
Ying Li
An assistant professor of finance at School of Business, Indiana University South Bend in South Bend, IN.
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  • For correspondence: yingl@iusb.edu
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Abstract

The growth in the hedge fund industry during the last two decades has been accompanied by a general decline in the performance of hedge funds. Academic research on hedge funds has led to the development of a number of replication strategies that in some cases can explain a significant portion of returns generated by various hedge fund strategies. This article presents a replication methodology that is particularly suited for performance evaluation. The methodology develops two replicating portfolios such that the distribution properties of the target are matched. The first portfolio delivers the statistical properties at the lowest possible cost while the other is more expensive but delivers the same set of properties as the target. The portfolios are used to evaluate a set of managers reporting to the CISDM Database.

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The Journal of Alternative Investments
Vol. 11, Issue 2
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Replication and Benchmarking of Hedge Funds
Hossein B Kazemi, Feng Tu, Ying Li
The Journal of Alternative Investments Sep 2008, 11 (2) 40-59; DOI: 10.3905/jai.2008.712596

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Replication and Benchmarking of Hedge Funds
Hossein B Kazemi, Feng Tu, Ying Li
The Journal of Alternative Investments Sep 2008, 11 (2) 40-59; DOI: 10.3905/jai.2008.712596
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