Synthetic hedge funds
We provide evidence on the performance and the replication success of a broad sample of
72 synthetic hedge funds from January 2009 to December 2013. Thereby, we assign the …
72 synthetic hedge funds from January 2009 to December 2013. Thereby, we assign the …
Capturing hedge fund risk factor exposures: Hedge fund return replication with ETFs
J Duanmu, Y Li, A Malakhov - Financial Review, 2020 - Wiley Online Library
We develop a new factor selection methodology of spanning the space of hedge fund risk
factors with all available exchange traded funds (ETFs). We demonstrate the efficacy of the …
factors with all available exchange traded funds (ETFs). We demonstrate the efficacy of the …
Send in the clones? hedge fund replication using futures contracts
NPB Bollen, GS Fisher - The Journal of Alternative …, 2013 - search.proquest.com
Replication products strive to offer investors some of the benefits of hedge funds while
avoiding their high fees, illiquidity, and opacity. The authors of this article test whether a …
avoiding their high fees, illiquidity, and opacity. The authors of this article test whether a …
Identifying performance persistence in hedge funds using a measure of manager skill
AB Dor, J Guan, X Zeng - The Journal of Portfolio …, 2020 - jpm.pm-research.com
In this article, the authors discuss the challenges in identifying performance persistence
among hedge funds and introduce a novel measure of manager skill, termed MMS, to …
among hedge funds and introduce a novel measure of manager skill, termed MMS, to …
In Search of Missing Risk Factors: Hedge Fund Return Replication with ETFs
J Duanmu, Y Li, A Malakhov - Available at SSRN 2411910, 2018 - papers.ssrn.com
We develop a new factor selection methodology of spanning the space of hedge fund risk
factors with all available exchange traded funds (ETFs). We demonstrate the efficacy of the …
factors with all available exchange traded funds (ETFs). We demonstrate the efficacy of the …
Linear Hedge Fund Index Replication–Revolutionizing Hedge Fund Industry or Introducing Poor-performing Alternatives for Hedge Funds?
T Pajunen - 2016 - osuva.uwasa.fi
Hedge funds have historically been important investments in diversified portfolios of wealthy
individuals and institutional investors. However, recent economic environment and events …
individuals and institutional investors. However, recent economic environment and events …
Beta Regime-Switching Hedge Funds and their Clones
BT Hayes, YA Ba - The Journal of Alternative Investments, 2015 - search.proquest.com
In this article, the authors introduce clones of beta-switching funds that utilize the most-
recent state to set their factor exposures. The optimal weight on this state depends on …
recent state to set their factor exposures. The optimal weight on this state depends on …
[CITATION][C] Hedge fund clones: la replica dei rendimenti finanziari
M Guglielmini - 2017 - LUISS Guido Carli