mar350

@maratikus, I was chuckling, but also semi-serious. If you can't replicate it, then there is a larger chance for fraud. However, certain types of HF strategies (mostly event driven and, I think, some discretionary macro) replication doesn't work very well anyway.

@SMIRK, I liked the book enough to order a used copy off of Amazon. As for the math, there is a fair quantity of equations, but for the most part you can just read around them and still get most of the main points. I'm still reading it so am not done yet, but I do like Andrew Lo's other stuff and so always give stuff by him at leas a quick skim.

anothercfainnyc

Goldman Sachs has a mutual fund that does this (absolute return tracker) ticker GARTX. Underwhelming at best. Once you look at the categories they include (high yield, emerging markets, etc...) you may find these asset classes already in your portfolio. At that point the only reason to use the fund is to replicate the aggregate HF's market timing ability.

SFoyil

Resurrecting an old thread here.

Does anyone work at a firm that invests in some form of HF replication product? I am looking for potential investments that can fit the following criteria:

- Absolute return mandate with very low correlation and beta relative to equity markets.
- Low fees relative to HF FoF
- Decent track record and credible strategy

Not an easy investment to find it would seem.

Follow up question: If you were asked to manage some money with an absolute return focus (say a benchmark of Libor + 3%) what strategy would you look at? Hedge funds, fixed income, real assets, other?

willsucceed

burk85 - Thanks for the link to that paper and also referral to IndexIQ.

IndexIQ's etfs seems to have had disappointing performance since inception. Despite enormous fees, HF FoF appear to still be hard to beat for absolute return on a net basis.