RT Journal Article SR Electronic T1 Beyond Factor Decomposition JF The Journal of Alternative Investments FD Institutional Investor Journals SP 84 OP 93 DO 10.3905/jai.2008.712599 VO 11 IS 2 A1 Jean-François Bacmann A1 Ryan Held A1 Pierre Jeanneret A1 Stefan Scholz YR 2008 UL https://pm-research.com/content/11/2/84.abstract AB Hedge fund replicators are investment vehicles that attempt to emulate hedge fund returns using a number of techniques. In this article, the authors shed some more light on the challenges and problems of the cloning process from a practical viewpoint. While various methodologies are available, the authors focus on factor modeling of hedge fund returns. The results show that, within this context, missing or mis-specified risk factors affect the performance of clones significantly. At the same time it might turn out to be very difficult to detect poorly defined settings of a clone in time (e.g. by looking at the explanatory power). The authors conclude that changing market conditions accompanied by dynamically changing risk factors cannot be captured accurately by such clones.TOPICS: Real assets/alternative investments/private equity, analysis of individual factors/risk premia, performance measurement