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Article

A Transparent View into Hedge Fund Portfolios

Apollon Fragkiskos
The Journal of Alternative Investments Winter 2015, 17 (3) 67-86; DOI: https://doi.org/10.3905/jai.2014.17.3.067
Apollon Fragkiskos
is head of research at State Street Global Exchange in New York, NY.
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  • For correspondence: apollon.fragkiskos@ifs.statestreet.com
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Abstract

Faced with the challenge of minimal disclosure, investors in hedge funds seek alternatives to increase transparency in order to better manage the risk and return profile of their portfolio. In this article, the author explores the possibility of extracting additional insight from investor risk reports relevant to each fund. The author follows a bottom-up approach by constructing a replicating portfolio from building blocks that are either listed instruments or synthetic positions. Findings indicate that even limited transparency can accurately capture the risk characteristics of each fund and to a certain extent, their return profile, revealing key metrics at granular levels. When viewing results at the portfolio level, consisting of just six funds, the level of accuracy becomes particularly high.

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The Journal of Alternative Investments: 17 (3)
The Journal of Alternative Investments
Vol. 17, Issue 3
Winter 2015
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A Transparent View into Hedge Fund Portfolios
Apollon Fragkiskos
The Journal of Alternative Investments Dec 2014, 17 (3) 67-86; DOI: 10.3905/jai.2014.17.3.067

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A Transparent View into Hedge Fund Portfolios
Apollon Fragkiskos
The Journal of Alternative Investments Dec 2014, 17 (3) 67-86; DOI: 10.3905/jai.2014.17.3.067
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    • LITERATURE REVIEW
    • METHODOLOGY
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    • COMPARISON AGAINST RETURNS-BASED STYLE ANALYSIS
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