hedge fund replication

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1、HedgeFundReplicationHosseinKazemiCISDMWhiteBearPartners,LLCkazemi@som.umass.eduNovember16,2007AlphasandBetasofHedgeFundsHedgefundsaremarketedasabsolutereturninvestmentproducts.MostofthereturnsaresupposedtocomefromidiosyncraticbetsmadebymanagersSystematiccomponentsofret

2、urnsaresupposedtobesmall.EvidenceprovidedbyacademicresearchduringthelastdecadeshowsotherwiseDiversifiedportfoliosofhedgefundshavesignificantexposurestovariousfactorsTheexposuresareinsomeinstancesdifferentfromthoseprovidedbytraditionalassetclassesAsignificantportionofre

3、turnsisduetoexposurestothesesourcesofrisk-returnBetasandAlphasofHedgeFundsAcademicresearchhashelpedchangethedominantparadigmthathedgefundsarepureabsolutereturninvestmentproductsTraditionalAssetsBetaReturnAlphaReturnTotalReturnAlternativeAssetsBetaReturnAlphaReturnTradi

4、tionalAssetsBetaReturnAlphaReturnAlternativeAssetsBetaReturnAlphaReturnDominantParadigm:1960-2000EmergingParadigm:2000-PresentLOWMEDIUMHIGHNote:+/-indicatespositiveornegativeexposureConvertibleArbitrageEquityMarketNeutralEventDrivenDistressedSecuritiesMergerArbitrageEq

5、uityLong/ShortPercentageofReturnVolatilityNotExplainedbyStrategySharpeRatioLeverageReturntoStyleVolatilityofReturnDownsideRiskExposuretoEquityIndexReturnEquityIndexVolatilityEconomyWideCreditRiskInterestRates++---------++--+--+-SummaryofexpectedexposureforHFStylesCommo

6、nSensitivitiesToMarketFactorsEvidenceontheAlternativeBetas:HedgeEquityEvidenceontheAlternativeBetas:FundofFundsAlternativeBetas&AlphasAlternativebetashavecometorepresentsystematicexposuresofhedgefundstrategiestoaccessiblesourcesofbetareturns.Hedgefundreplicationproduct

7、sattempttoreplicatereturnsattributedtoalternativebetas.Replicationproductsarenotmeanttoreplicatethealphaofhedgefunds(ifthereisany).AlternativeBetas&AlphasAlternativebetasarenotconstantandreplicatingstrategiesattempttocapturedynamicsofthesebetas.Recentincreaseinhedgefun

8、dsbetaisnotadisturbingfactbecausemarketshavebeenrisinginrecentyears.Willthebetasdeclinewhenmarketsbegintodecline?Grap