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Hedge Fund Returns: You Can Make Them Yourself!

AIRC Working Paper No. 0023

Cass Business School Research Paper

15 Pages Posted: 15 Sep 2005  

Harry M. Kat

Independent

Helder P. Palaro

Independent

Date Written: June 8, 2005

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.

Keywords: hedge fund, replication

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: https://ssrn.com/abstract=800665 or http://dx.doi.org/10.2139/ssrn.800665

Harry Kat (Contact Author)

Independent

No Address Available

Helder Palaro

Independent ( email )

Monaco

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