Assessment of hedge fund replication strategies
|Author:||Mgr. Martin Kollár|
|Year:||2008 - summer|
|Leaders:|| prof. Ing. Oldřich Dědek CSc.
|Work type:|| Finance, Financial Markets and Banking
|Awards and prizes:|
|Abstract:||Hedge funds are investment vehicles that provide solid risk-adjusted performance in various stages of market cycle and that are not strongly correlated to the markets they transact in. The profits from hedge funds were for a long time available only to high net-worth individuals or institutional investors, who could bear the possible negative effects of a serious downturn of the fund. The recent development in the hedge fund industry however leans toward the exploitation of hedge fund returns by a wider range of investors. Many hedge fund databases and investment banks have thus created different hedge fund indices and hedge fund clones that would replicate the exposures of hedge funds with smaller fees and smaller investment requirements. Our analysis showed that the development of such products has advanced into more promising stages, when new approaches are used to better replicate the hedge fund returns.|