Hedge Funds: Alpha, Beta, and Replication Strategies

Dubi, Robert
October 2011
Journal of Financial Planning;Oct2011, Vol. 24 Issue 10, p51
Academic Journal
The article discusses the hedge fund performance replication, as well as existing replication vehicles to retail investors in the U.S. It cites several hedge fund strategies including market neutral, merger arbitrage, and statistical/theoretical commodity. It notes that some strategies are replicated with traditional beta and alternative beta factorization, while some are replicated by active search for clustering. It implies that replicating indices, as well as corresponding fund vehicle provide transparency, low cost and liquidity, and reduces Madoff-like fraud exposure. Moreover, a chart depicting several hedge fund replication exchange traded funds (ETFs) including ProShares 130/30 ETF, Credit Suisse Long/Short Liquid ETN, and WisdomTree Managed Futures is presented.


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