Wed, Jan 18, 2017
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

New study examines hedge fund clone performance

Monday, August 20, 2012

Bailey McCann, Opalesque New York: Gregg S. Fisher, President & Chief Investment Officer of independent investment management firm Gerstein Fisher, and Nicolas P.B. Bollen, the E. Bronson Ingram Professor of Finance at the Owen Graduate School of Management, Vanderbilt University, have released a study, "Send in the Clones? Hedge Fund Replication Using Futures Contracts", that examines the performance of replication algorithms used to build hedge fund "clones". Replication products are becoming more popular with investors seeking lower fees, more transparency and greater liquidity than they can typically expect from a hedge fund.

In their study, Mr. Fisher and Dr. Bollen sought to replicate a series of Dow Jones Credit Suisse hedge fund indexes using five liquid futures contracts to permit low-cost, liquid exposure to most major asset classes. They then performed a series of rolling-window regressions, each of which yielded a set of allocation weights that were used to construct a clone portfolio.

According to data presented in the paper, clones show a high correlation to their underlying indices however, the Sharpe ratio performance of the clone is notably inferior to that of a hedge fund. "The only way clones can add value is by capturing the factor timing activity of the hedge funds they are attempting ......................

To view our full article Click here

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Southpoint Capital gains 3.8% in Q3, bringing year-to-date returns to 5.2%[more]

    From Valuewalk.com: Southpoint Capital Advisors, the $3 billion New York hedge fund founded by former employees of David Einhorn’s Greenlight Capital, added 3.8% net during the third quarter of 2016, bringing year-to-date returns to 5.2% and cumulative returns since inception (July 2004) of 237.4% a

  2. The Big Picture: The case for emerging market debt in 2017[more]

    Benedicte Gravrand, Opalesque Geneva: Emerging market (EM) assets outperformed in 2016 mainly because of stronger fundamentals and an improving international environment, with GDP picking up speed, leading to positive earnings revisions for the first time in five years,

  3. Short Selling - Long-short hedge funds are ditching the shorts to focus on longs[more]

    From Bloomberg.com: What happens when you take the "short" out of a long-short trading strategy? Some hedge funds are about to find out. Equity long-short fund managers, the biggest category in hedge funds, hold the fewest bearish stock bets on record, data compiled by Credit Suisse Group AG s

  4. SWFs - China sovereign wealth fund CIC plans more U.S. investments[more]

    From Reuters.com: China Investment Corporation (CIC), the country's sovereign wealth fund, is looking to raise alternative investments in the United States due to low returns in public markets, its chairman said on Monday. CIC will boost its investments in private equity and hedge funds as wel

  5. Some hedge funds strong start in 2017 nice contrast to 2016[more]

    With the 2016 HSBC Hedge Weekly performance rankings in the books - a year in which the same leader-board entries pretty much dominated unchallenged throughout the year - comes a new leader board that is a hard-scrabble mix of hedge fund styles and categories. What is clear after but a few short wee