Abstract

http://ssrn.com/abstract=939395
 
 

References (6)



 
 

Citations (5)



 


 



Alternative Routes to Hedge Fund Return Replication: Extended Version


Harry M. Kat



April 30, 2007

Cass Business School Research Paper No. 0037

Abstract:     
With average hedge fund performance steadily deteriorating and equity markets picking up again, interest in hedge fund return replication as a cheaper means of obtaining hedge fund-like returns is growing steadily. Currently, there are various products on offer. Compared to real hedge funds (of funds), all of them offer improved liquidity, transparency, capacity, etc. and thereby solve a range of problems surrounding hedge fund investment. There are, however, substantial differences in terms of their attraction as portfolio diversifiers. The multi-strategy replication products offered by Merrill Lynch (Factor Index), Goldman Sachs (ART Index), and Partners Group (ABS fund) exhibit a strong correlation with the stock market. This severely limits these products' attraction as portfolio diversifiers. FundCreator does not necessarily replicate any specific fund or index, but allows investors to design their own diversifier from scratch. This gives investors a unique opportunity to create new tailor-made diversifiers with characteristics that are optimal given their existing portfolios. Clearly, this makes FundCreator-based synthetic funds much more attractive than the various multi-strategy hedge fund replication and alternative beta products currently on offer

Number of Pages in PDF File: 29

Keywords: Hedge fund, synthetic fund, replication, asset management

JEL Classification: G11, G23

working papers series


Download This Paper

Date posted: October 24, 2006  

Suggested Citation

Kat, Harry M., Alternative Routes to Hedge Fund Return Replication: Extended Version (April 30, 2007). Cass Business School Research Paper No. 0037. Available at SSRN: http://ssrn.com/abstract=939395 or http://dx.doi.org/10.2139/ssrn.939395

Contact Information

No contact information is available for Harry M. Kat
Feedback to SSRN


Paper statistics
Abstract Views: 14,817
Downloads: 5,150
Download Rank: 654
References:  6
Citations:  5

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo3 in 0.360 seconds