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Dr. Lars Jaeger, partner at Partners Group AG, a global alternative asset management firm with CHF24bln in AuM based in Zug, Switzerland, reports in his annual review on the performance of Patners Group’s Alternative Beta strategies (PG AltBeta) and replication products in general, compared to hedge funds’ performance. As indeed, the formers outperformed hedge fund indices in 2008, especially in the last quarter, and some of the outperformance can be attributed to the avoidance of the troubles that hedge funds have had to deal with.
Alternative beta, also called hedge fund beta or hedge fund replication, aims to produce hedge fund like returns without actually investing in hedge funds. Replication is based on the premise that a large portion of hedge fund returns can be explained by gaining exposure to relatively simple strategies/risk factors. The replication model uses a regression analysis to infer funds’ time varying exposure levels to these risk factors and then invests according to the most recently inferred exposures. The main advantages of alternative beta are increased transparency, liquidity, absence of fraud risk, and lower costs. Major limitations are: no true alpha and a time delay in exposure levels (Source).
Alternative Beta Strategies performance compared to hedge fund indices’ in 2008
The Alternative Beta Strategies continued to d...................... To view our full article Click here
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