How Do Hedge Fund Clones Manage the Real World?

21 Pages Posted: 26 Aug 2009 Last revised: 11 Nov 2009

Nils Tuchschmid

Tages Capital LLP

Erik Wallerstein

University of Applied Sciences Western Switzerland - Geneva School of Business Administration

Sassan Zaker

Julius Baer Bank

Date Written: September 25, 2009

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.

Keywords: hedge fund replication, replication products

Suggested Citation

Tuchschmid, Nils and Wallerstein, Erik and Zaker, Sassan, How Do Hedge Fund Clones Manage the Real World? (September 25, 2009). Journal of Alternative Investments, Forthcoming. Available at SSRN: https://ssrn.com/abstract=1462159

Nils Tuchschmid

Tages Capital LLP ( email )

SW1Y 5NQ London
United Kingdom

Erik Wallerstein (Contact Author)

University of Applied Sciences Western Switzerland - Geneva School of Business Administration ( email )

CH-1227 Geneva
Switzerland

Sassan Zaker

Julius Baer Bank ( email )

P. O. Box, CH-8010
Zurich
Switzerland

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