Performance Characteristics of Hedge Fund Replication Programs

Posted: 22 May 2019

See all articles by Raj Gupta

Raj Gupta

American College of Healthcare Trustees; American College of Healthcare Trustees

Edward Szado

Providence College

William Spurgin

University of Massachusetts Amherst

Date Written: September 1, 2008

Abstract

Hedge Fund Replication has generated significant academic and practitioner interest in recent years. This interest has been translated into several product offerings by the major investment backs such as Goldman Sachs, Morgan Stanley and J.P Morgan. Replication products generally follow three approaches: security-based replication, factor-based replication and distribution-based replication. In this article we examine the performance characteristics of various hedge fund replication programs. The results show that the performance of the replication products can vary significantly. As with individual funds, the volatilities and performance of the replication programs vary widely. We also find significant variation in the factor loadings of the various replication based products. Ultimately, we conclude that our analysis is limited by the limited history of replication, and that a more robust dataset is necessary to rigorously analyze the performance of these programs

Keywords: Hedge Fund Replication, Clones, Performance, Factor, Distribution, Alpha

JEL Classification: G11, G21

Suggested Citation

Gupta, Raj and Szado, Edward and Spurgin, William, Performance Characteristics of Hedge Fund Replication Programs (September 1, 2008). https://doi.org/10.3905/jai.2008.712597 , Available at SSRN: https://ssrn.com/abstract=1524293 or http://dx.doi.org/10.2139/ssrn.1524293

Raj Gupta (Contact Author)

American College of Healthcare Trustees ( email )

PO Box 1714
Houlton, ME 04730
United States
04730 (Fax)

HOME PAGE: http://www.facht.org

American College of Healthcare Trustees ( email )

PO Box 1714
Houlton, ME 04730
United States
04730 (Fax)

HOME PAGE: http://www.facht.org

Edward Szado

Providence College ( email )

United States

William Spurgin

University of Massachusetts Amherst ( email )

Department of Operations and Information Managemen
Amherst, MA 01003
United States

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