torontoanalyst

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?

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, ...

NakedPuts00

QuantJock, you're a beast with the book reccos.

__________

"good personality ... or he was known as Lt. Mandingo during his army days."

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.