PT - JOURNAL ARTICLE AU - Jiaqi Chen AU - Michael L. Tindall TI - Hedge Fund Replication Using Shrinkage Methodologies AID - 10.3905/jai.2014.17.2.026 DP - 2014 Sep 30 TA - The Journal of Alternative Investments PG - 26--49 VI - 17 IP - 2 4099 - https://pm-research.com/content/17/2/26.short 4100 - https://pm-research.com/content/17/2/26.full AB - 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