Hedge Fund Returns: You Can Make Them Yourself!
Harry M. Kat
Helder P. Palaro
June 8, 2005
AIRC Working Paper No. 0023
Cass Business School Research Paper
Abstract:
By dynamically trading futures in very much the same way as investment banks hedge their OTC option positions it is possible to generate returns that are statistically very similar to the returns generated by hedge funds but without any of the usual drawbacks surrounding alternative investments, i.e. without liquidity, capacity, transparency or style drift problems and without paying over-the-top management fees. Hedge fund returns may be different, but they are certainly not unique.
Number of Pages in PDF File: 15
Keywords: hedge fund, replication
working papers series
Suggested Citation
Kat, Harry M. and Palaro, Helder P., Hedge Fund Returns: You Can Make Them Yourself! (June 8, 2005). ; Cass Business School Research Paper. Available at SSRN: http://ssrn.com/abstract=800665 or http://dx.doi.org/10.2139/ssrn.800665
