标题: Hedge fund replication [打印本页] 作者: hinsafdar 时间: 2011-10-11 00:21 标题: Hedge fund replication
Anyone have any thoughts, positive or negative, on hedge fund replication strategies, ie. creating a portfolio of securities that has a high correlation to aggregate hedge fund industry returns without the associated fees or lockups? I know JDV built his business around HF replication but has anyone else looked into it?作者: IAmNeil 时间: 2011-10-11 00:38
stromey Wrote:
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> If your interested check out the Wiley Finance
> book: "Alternative Beta Strategies and Hedge Fund
> Replication" by Lars Jaeger. The book explores
> some of the methodologies of enacting these
> strategies, although be forewarned that your math
> skills have to be higher than those required on
> the CFA exams.
I really enjoyed the book as well. However, the author made a few claims that I are not supported by actual data. For example, he created an index sGFI that supposedly outperforms managed futures. But when I looked at performance of the index in 2007-2008 (period after the book was published), the index was barely flat while managed futures had one of the greatest periods in their history. Data mining comes to mind.
The book is a good starting point but then you have to work with actual data.作者: NakedPuts00 时间: 2011-10-11 00:49
QuantJock, you're a beast with the book reccos.
__________
"good personality ... or he was known as Lt. Mandingo during his army days."作者: hw0799 时间: 2011-10-11 00:54
SMIRK Wrote:
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> Anyone have any thoughts, positive or negative, on
> hedge fund replication strategies, ie. creating a
> portfolio of securities that has a high
> correlation to aggregate hedge fund industry
> returns without the associated fees or lockups? I
> know JDV built his business around HF replication
> but has anyone else looked into it?
Check out the FRM curriculum. This topic was heavily covered when I took this test. they give you actual strategies for replication along with real tracking error numbers, ...作者: torontoanalyst 时间: 2011-10-11 01:00
mo34 Wrote:
> Check out the FRM curriculum. This topic was
> heavily covered when I took this test. they give
> you actual strategies for replication along with
> real tracking error numbers, ...
I haven't looked at FRM curriculum since I passed it. Do they suggest regressing across different factors or strategies? Is it primarily based on Harry Kat's work or they also look at alternative betas?作者: AndyNZ 时间: 2011-10-11 01:06
maratikus Wrote:
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> mo34 Wrote:
> > Check out the FRM curriculum. This topic was
> > heavily covered when I took this test. they
> give
> > you actual strategies for replication along
> with
> > real tracking error numbers, ...
>
> I haven't looked at FRM curriculum since I passed
> it. Do they suggest regressing across different
> factors or strategies? Is it primarily based on
> Harry Kat's work or they also look at alternative
> betas?
They had two main topics. One was a regression using 6 or 7 independent variables that they claimed ( and demonstrated with an in depth analysis of HF returns over many years) could replicate any HF strategy ( Factors included USD_index, GS_Commodity index, ...). I don't remember the second techniques they used but it involved options and S&P futures.作者: pimpineasy 时间: 2011-10-11 01:11
I wonder what a replication of Bernie Madoff's reported return stream would come up with?
Machine of your dreams (invent the return stream you'd like), or fraud detector (via a low R-squared)?作者: yodacaia 时间: 2011-10-11 01:17
The subject is covered by an article in one of the textbook of CAIA Level II 2009. The name of the article is "Passive Hedge Fund Replication:A critical Assessment of Existing Techniques". The conclusion there is generally negative, if I remember it correctly.
Liberty Hill, CAIA, CFA作者: bpdulog 时间: 2011-10-11 01:28
bchadwick Wrote:
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> I wonder what a replication of Bernie Madoff's
> reported return stream would come up with?
>
> Machine of your dreams (invent the return stream
> you'd like), or fraud detector (via a low
> R-squared)?
I know you are joking but I remember seeing an article about such frad detector based on serial correlation.作者: stockjaguar 时间: 2011-10-11 01:34
bchadwick Wrote:
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> BTW, I'm reading Andrew Lo's book, Hedge Funds: an
> analytic perspective, and it has a big chapter
> devoted to "Hedge Fund Beta Replication."
>
> the rest of the book is good too.
Is this worth buying? Is the book easy to read for non-quant types or would I need a geek-to-English translator to comprehend it.作者: mar350 时间: 2011-10-11 01:39
@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.作者: anothercfainnyc 时间: 2011-10-11 01:45
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.作者: SFoyil 时间: 2011-10-11 01:50
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?作者: willsucceed 时间: 2011-10-11 02:01
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.
