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Sunday, July 26, 2020 | History

2 edition of Hedge fund replication found in the catalog.

Hedge fund replication

Greg N. Gregoriou

Hedge fund replication

by Greg N. Gregoriou

  • 62 Want to read
  • 17 Currently reading

Published by Palgrave Macmillan in New York .
Written in English

    Subjects:
  • BUSINESS & ECONOMICS / Investments & Securities,
  • Hedge funds,
  • BUSINESS & ECONOMICS / Finance,
  • BUSINESS & ECONOMICS / Management,
  • Mutual funds,
  • Investments

  • Edition Notes

    Includes index.

    Statementedited by Greg N. Gregoriou, Maher Kooli
    Classifications
    LC ClassificationsHG4521 .H473 2012
    The Physical Object
    Paginationp. cm.
    ID Numbers
    Open LibraryOL25087164M
    ISBN 109780230336810
    LC Control Number2011042949

    ProShares Hedge Replication ETF (HDG) does not invest in any hedge funds or funds-of-hedge-funds. There is no guarantee that HDG will successfully achieve its investment objective or that the "Merrill Lynch Factor Model ® – Exchange Series" (MLFM-ES) will successfully provide the risk/return characteristics of a broad universe of hedge funds or achieve a high correlation with the HFRI Fund. In order to elaborate on hedge fund return sources and replication techniques, we will first need to define what a hedge fund is and give a brief overview of the universe of hedge fund strategies. This chapter will give the reader the necessary background on hedge funds, including an understanding of where this industry came from and where it.

    Alternative Beta Strategies and Hedge Fund Replication by Lars Jaeger, Jeffrey Pease Digital, Pages, Published No copies of this book were found in stock from online book stores and marketplaces. Alert me when this book becomes available. Home | iPhone App. based. For these reasons, we conclude that hedge-fund replication, at least for certain types of funds, is both possible and, in some cases, worthy of serious consideration. We begin in Section 2 with a brief review of the literature on hedge-fund replication, and provide two examples that motivate this endeavor. In Section 3 we present a linear.

    The hedge fund replication refers to the process of replicating, or cloning, the returns of hedge funds through a statistical model or algorithmic trading strategy. There are three approaches that are employed for hedge fund replication. The first method, factor replication, is a top-down approach, which tries to estimate asset exposures of hedge funds with various statistical methods. Hedge fund replication has already become the new buzzword in the hedge fund industry. With further product offerings and increased levels of modelling sophistication, it is destined to grow above that level and become an entirely new paradigm in hedge fund investing. This might ultimately (as in the traditional investment industry) turn the.


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Hedge fund replication by Greg N. Gregoriou Download PDF EPUB FB2

While there may be a consensus in the industry that hedge funds clones will bring better liquidity and lower fees, it is still debatable whether replication products should serve as a complement in the hedge fund allocation decision or as a replacement.

This book offers the reader valuable insights into the thinking behind hedge fund replication.3/5(2). Greg N. Gregoriou is the author of numerous published books, book chapters and refereed journal papers.

He has also been quoted several times in the New York Times and the Financial Times of London. Professor Gregoriou is hedge fund editor and editorial board member for the Journal of Derivatives and Hedge Funds, as well as editorial board member for the Journal of Wealth Price: $   Serving as a handbook for replicating the returns of hedge funds at considerably lower cost, Alternative Beta Strategies and Hedge Fund Replication provides a unique focus on replication, explaining along the way the return sources of hedge funds, and their systematic risks, that make replication possible.

It explains the background to the new discussion on hedge fund Cited by: Written by the well known Hedge Fund expert and author Lars Jaeger, the book is divided into three sections: Hedge Fund Background, Return Sources, and Replication Techniques. Section one provides a short course in what hedge funds actually are and how they operate, arming the reader Hedge fund replication book the background knowledge required for the rest of the book.

While there may be a consensus in the industry that hedge funds clones will bring better liquidity and lower fees, it is still debatable whether replication products should serve as a complement in the hedge fund allocation decision or as a replacement.

This book offers the reader valuable insights into the thinking behind hedge fund replication. Introduction. While there may be a consensus in the industry that hedge funds clones will bring better liquidity and lower fees, it is still debatable whether replication products should serve as a complement in the hedge fund allocation decision or as a replacement.

This book offers the reader valuable insights into the thinking behind hedge fund replication. This book offers the reader valuable insights into the thinking behind hedge fund replication. It comprises a collection of views and research from specialist practitioners and academics from around the world, to shed light on different issues regarding the construction of hedge fund clones and how we should consider them.

The IDX Hedge Fund Replication Index suite seeks to synthetically replicate the risk-premia exposures commonly utilized by the actively managed hedge fund complex. The IDX Hedge Fund Replication Indexes provide a robust, transparent, rules-based approach to better understanding hedge fund return sources.

A popular approach to hedge fund replication involves estimating a target fund’s factor exposures via Sharpe’s () asset-class factor model framework (e.g., Hasanhodzic and Lo, ) and using the estimated coefficients to determine clone portfolio weights.

Briefly, the factor-based replication strategy relies on estimating long/short. But it does require a bit of domain expertise in doing due diligence into fund managers. But that’s what the book is about. What about hedge fund replication ETFs such as the Global X Guru. Hedge Fund Replication | Greg N.

Gregoriou, Maher Kooli (eds.) | download | B–OK. Download books for free. Find books. Hedge funds' dynamic investment strategies and flexibility to trade derivatives lead to complex nonlinear exposures to systematic risk, which existing linear models fail to capture.

Until these nonlinear features are taken into account, any replication model is unlikely to succeed and evolve into a viable alternative to direct hedge fund investing. While there may be a consensus in the industry that hedge funds clones will bring better liquidity and lower fees, it is still debatable whether replication products should serve as a complement in the hedge fund allocation decision or as a replacement.

This book offers the reader valuable insights into the thinking behind hedge fund : Palgrave Macmillan UK. Hedge Fund Replication ETF Strategy.

A systematic Sector Rotation strategy in US equities. Jason Yip. Follow. May 28 6 min read. Objective. Investors of hedge funds may be generally concerned by lower liquidity, higher use of leverage, and higher fees than in traditional asset management.

With the use of sector ETFs, I aim to mimic hedge. Within the last few years, researchers have also been replicating hedge fund returns (Hasanhodzic and Lo ; Kat and Palaro ), with hedge fund replication products, or clones, being a viable alternative to hedge funds for investors who are unable to meet the accreditation requirements needed to invest in hedge funds, as well as those.

While there may be a consensus in the industry that hedge funds clones will bring better liquidity and lower fees, it is still debatable whether replication products should serve as a complement in This book offers the reader valuable insights into the thinking behind hedge fund replication.

Alternative Beta Strategies and Hedge Fund Replication (1st Edition) by Lars Jaeger, Jeffrey Pease Hardcover, Pages, Published ISBN X / X ISBN / Need it Fast.

2 day shipping options There s a buzzword that has quickly captured the imagination of product providers and investors alik.

J The Morningstar NEXUS Hedge Fund Replication Index Rule Book A New Standard for Hedge Fund Index Replication Summary: This document describes the construction and calculation of the Morningstar NEXUS Hedge Fund Replication Index for which Morningstar is the Sponsor and Innocap Investment Management Inc.

is the Calculation Agent. Serving as a handbook for replicating the returns of hedge funds at considerably lower cost, Alternative Beta Strategies and Hedge Fund Replication provides a unique focus on replication, explaining along the way the return sources of hedge funds, and their systematic risks, that make replication possible.

Whereas most replication products seek to match hedge fund performance, we pioneered the concept of delivering alpha by cutting out fees and expenses. Basically, hedge funds generate a lot of. Summary: "Serving as a handbook for replicating the returns of hedge funds at considerably lower cost, Alternative Beta Strategies and Hedge Fund Replication provides a unique focus on replication, explaining along the way the return sources of hedge funds, and their systematic risks, that make replication possible.This book offers the reader valuable insights into the thinking behind hedge fund replication.

It comprises a collection of views and research from specialist practitioners and academics from around the world, to shed light on different issues regarding the construction of hedge fund clones and how we should consider them.3/5(1).

Sell, buy or rent Alternative Beta Strategies and Hedge Fund Replication X, we buy used or new for best buyback price with FREE shipping and offer great deals for : Wiley.