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The Journal of Alternative Investments

The Journal of Alternative Investments

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Primary Article

Performance Characteristics of Hedge Fund Replication Programs

Bhaswar Gupta, Edward Szado and William Spurgin
The Journal of Alternative Investments Fall 2008, 11 (2) 61-68; DOI: https://doi.org/10.3905/jai.2008.712597
Bhaswar Gupta
A research director at CISDM/Isenberg School of Management, The University of Massachusetts in Amherst, MA. raj@cisdm.org
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Edward Szado
A research associate at CISDM/Isenberg School of Management, The University of Massachusetts in Amherst, MA. ed@cisdm.org
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William Spurgin
A research associate at CISDM/Isenberg School of Management, The University of Massachusetts in Amherst, MA. wspurgin@cisdm.org
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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 banks 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. This article examines the performance characteristics of various hedge fund replication programs. The results show that the performance of the replication products can vary significantly. The volatilities of the replication programs, as is the case with individual fund volatilities, vary widely as well. The authors conclude that a more robust dataset is necessary to rigorously analyze the performance of these programs.

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The Journal of Alternative Investments
Vol. 11, Issue 2
Fall 2008
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Performance Characteristics of Hedge Fund Replication Programs
Bhaswar Gupta, Edward Szado, William Spurgin
The Journal of Alternative Investments Sep 2008, 11 (2) 61-68; DOI: 10.3905/jai.2008.712597

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Performance Characteristics of Hedge Fund Replication Programs
Bhaswar Gupta, Edward Szado, William Spurgin
The Journal of Alternative Investments Sep 2008, 11 (2) 61-68; DOI: 10.3905/jai.2008.712597
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Cited By...

  • Beta Regime-Switching Hedge Funds and their Clones
  • Dynamic Hedge Fund Exposures: * One Size Estimation Interval Doesnt Fit All
  • On the Market-Timing Ability of Factor-Based * Hedge Fund Clones
  • The Value-Added of Investable Hedge Fund Indices
  • How Do Hedge Fund Clones Manage the Real World?
  • Scopus (9)
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  • Beyond Factor Decomposition
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