How Do Hedge Fund Clones Manage the Real World?
21 Pages Posted: 26 Aug 2009 Last revised: 11 Nov 2009
Date Written: September 25, 2009
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: Suggested Citation