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Sassan Zaker's
Scholarly Papers
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1,125 |
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1.
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Nils Tuchschmid
Haute école de gestion de Genève Erik Wallerstein
Geneva School of Business Administration Sassan Zaker
Julius Baer Bank
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26 Aug 09
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Last Revised:
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11 Nov 09
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798
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Abstract:
Several hedge fund replication products have been launched over the past three to four years. Consequently a substantial number of products have built up a sufficient track record for performance analysis. This survey investigates the performance of 20 replication funds or indexes over the period April-08 - May-09. All three well-known replication techniques are represented by different products. Besides classic performance analysis we investigate replication model risk, enabled by the discloser of backtested return data.
hedge fund replication, replication products
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2.
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Nils Tuchschmid
Haute école de gestion de Genève Erik Wallerstein
Geneva School of Business Administration Sassan Zaker
Julius Baer Bank
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26 Aug 09
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Last Revised:
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28 Aug 09
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174
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Abstract:
What is the appropriate level of portfolio allocation towards fund of hedge funds? The well-known core-satellite approach would give a number around 5% or 10%, fund of hedge funds being the satellite allocation. The core allocation should be given to often low-fee, passively managed, classical beta exposure like equity and bonds. The core-satellite approach, however, is patently absurd if the satellite mostly consist of beta exposure.
The aim of this article is two-folded. Firstly, we unveil the beta exposure of fund of hedge funds with the application of a standard linear replication model. Secondly, with the transparency of these replication portfolios we investigate what the role fund of hedge funds should be in an investor's portfolio.
asset management, fund of hedge funds, hedge fund replication
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3.
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Sassan Zaker
Julius Baer Bank
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21 Oct 09
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21 Oct 09
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153
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Abstract:
Alpha Uncertainty Principle introduces a new relationship between alpha potential and alpha uncertainty. Alpha uncertainty increases with degrees of freedom used in active management. This uncertainty cost has been largely ignored by investors. As a result free put options have been written to active managers, which if widespread could have systemic effects. The uncertainty principle introduces a trade-off that is shown to enable a new approach to a number of practical investment problems including: role of active management in asset allocation and optimal tracking error. The principle is shown to lead to the concept of Alpha Efficient Frontier.
Alpha, Active Management, Asset Allocation, Hedge Funds
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