hw0799

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, ...