Hedge Fund Beta Replication: A Five-Year Retrospective
Journal of Investment Management (JOIM), Third Quarter 2014
Posted: 16 Nov 2014
Date Written: October 14, 2014
During the past few years, hedge fund beta replication strategies have become more common. At the same time, questions about the relevance, performance, and applicability of these strategies have been raised in response to the rapidly shifting landscape in the hedge fund industry. We present a review of the growing beta replication industry with particular emphasis on the ASG Global Alternatives Fund. We discuss the motivation for its existence and the logic of its absolute and relative performance over time and across different market environments. We also explain why these strategies are complements to, and not substitutes for, direct investments in hedge funds, and provide examples of their value-added in investors’ portfolios.
Keywords: Hedge funds, liquid alternatives, beta replication, exotic beta, smart beta
JEL Classification: G00
Suggested Citation: Suggested Citation