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Performance of Passive Hedge Fund Replication Strategies

Auteurs :
Noël Amenc
Professor of Finance and Director of the EDHEC Risk and Asset Management Research Centre

Lionel Martellini
Professor of Finance, EDHEC Business School
Scientific Director, EDHEC Risk and Asset Management Research Centre

Jean-Christophe Meyfredi
Professor of Finance, EDHEC Business School

Volker Ziemann
Research Engineer at the EDHEC Risk and Asset Management Research Centre

In this paper we extend Hasanhodzic and Lo (2007) by assessing the out-of-sample performance of various non-linear and conditional hedge fund replication models.

EDHEC Working Paper

EDHEC Working Paper

We find that going beyond the linear case does not necessarily enhance the replication power. On the other hand, we find that selecting factors on the basis of an economic analysis can lead to a substantial improvement in out-of-sample replication quality, whatever the underlying form of the factor model. Overall, we confirm the findings in Hasanhodzic and Lo (2007) the performance of the replicating strategies is systematically inferior to that of the actual hedge funds.
Type :
Working Paper
Dates :
Créé le 16 septembre 2009
Complément d'informations :
Pour plus d'informations, nous vous prions de vous adresser à Joanne Finlay, Direction de la recherche de l'EDHEC [ joanne.finlay@edhec.edu ]

Les opinions exprimées sont celles des auteurs et n'engagent pas la responsabilité de l'EDHEC.

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