CIRJE-F-592 | "Hedge Fund Replication" |
Author Name | Takahashi, Akihiko and Kyo Yamamoto |
Date | September 2008 |
Full Paper | PDF file |
Remarks | Revised in November 2008; subsequently published in Chapter 2.The Recent Trend of Hedge Fund Strategies, Nova Science Publishers. |
Abstract |
This chapter provides a comprehensive explanation of hedge fund replication. This chapter first reviews the characteristics of hedge fund returns. Then, the emergence of hedge fund replication products is discussed. Hedge fund replication methods are classified into three categories: Rule-based, Factor-based, and Distribution replicating approaches. These approaches attempt to capture different aspects of hedge fund returns. This chapter explains the three methods. |