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Hedge Fund Replication Using Shrinkage Methodologies

Jiaqi Chen and Michael L. Tindall
The Journal of Alternative Investments Fall 2014, 17 (2) 26-49; DOI: https://doi.org/10.3905/jai.2014.17.2.026
Jiaqi Chen
is a financial industry analyst in the Financial Industry Studies Department at the Federal Reserve Bank of Dallas in Dallas, TX.
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  • For correspondence: jiaqi.chen@dal.frb.org
Michael L. Tindall
is an alternative investments specialist in the Financial Industry Studies Department at the Federal Reserve Bank of Dallas in Dallas, TX.
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  • For correspondence: michael.tindall@dal.frb.org
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Abstract

In this article, the authors replicate major Hedge Fund Research, Inc., style indexes using alternative methods. These methods include stepwise regression, ridge regression, the lasso method, the elastic net, dynamic linear regression, principal component regression, and partial least squares regression. They find generally that, across the major hedge fund style indexes, the best replication results are obtained with methods that employ shrinkage of parameters.

TOPICS: Real assets/alternative investments/private equity, style investing, statistical methods, performance measurement

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The Journal of Alternative Investments: 17 (2)
The Journal of Alternative Investments
Vol. 17, Issue 2
Fall 2014
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Hedge Fund Replication Using Shrinkage Methodologies
Jiaqi Chen, Michael L. Tindall
The Journal of Alternative Investments Sep 2014, 17 (2) 26-49; DOI: 10.3905/jai.2014.17.2.026

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Hedge Fund Replication Using Shrinkage Methodologies
Jiaqi Chen, Michael L. Tindall
The Journal of Alternative Investments Sep 2014, 17 (2) 26-49; DOI: 10.3905/jai.2014.17.2.026
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