IAmNeil

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.