The Pros and Cons of Passive Hedge Fund Replication

A number of major investment banks and asset management consultants have recently launched investment products that promise to replicate hedge fund returns by following rule-based strategies that invest in liquid financial products.

Author(s):

Noel Amenc

, Professor of Finance and Director of Research and Developmentat EDHEC Business School.

David Schroder

Management Research Centre.

The argument is that such products provide hedge fundlike returns while making it possible to avoid paying the high fees charged by hedge funds. In a recent publication, the EDHEC Risk and Asset Management Research Centre analyses the replicating performance of the two main approaches to hedge fund replication (Amenc et al. 2007). It concludes that, although hedge fund replication is theoretically appealing, it does not, in practice, deliver satisfactory results. Following the study, EDHEC called for practitioner views on replication products. We find that very few of the asset managers who respond to our survey have invested in such products. Many investors are critical of passive hedge fund replication and have doubts about its potential benefits.
Pdf
The Pros and Cons of Passive Hedge Fund Replication...
(-1.00 B)
Type: EDHEC Publication
Date: le 06/10/2008
Extra information : Ce document constitue une synthèse de travaux scientifiques conduits au sein de l'EDHEC. Pour plus d'informations, nous vous prions de vous adresser à Séverine Anjubault de la direction de la recherche de l'EDHEC : severine.anjubault@edhec.edu Les opinions exprimées sont celles de l'auteur et n'engagent pas la responsabilité de l'EDHEC.
Research Cluster : Finance

See Also

Bond Portfolio Optimization in the Presence of Duration Constraints - EDHEC-Risk Institute research article in the Journal of Fixed Income
News
- 19-07-2018
We are pleased to enclose an EDHEC-Risk Institute research article published in the...
Lionel Martellini discussed ageing population: goal-based investing and its application to the retirement problem
News
- 10-07-2018
Lionel Martellini, Professor of Finance at EDHEC Business School and Director of EDHEC-...
EDHECInfra Days: Infrastructure Investors need proper benchmarks
News
- 05-07-2018
Earlier this month we held the first EDHECinfra Days event in London, bringing together...
EDHEC Family Business Centre Dissemin’Actions
News
- 05-07-2018
Since the beginning of 2018, researchers and teachers from the Family Business Centre...