RT Journal Article SR Electronic T1 Hedge Fund Replication Using Shrinkage Methodologies JF The Journal of Alternative Investments FD Institutional Investor Journals SP 26 OP 49 DO 10.3905/jai.2014.17.2.026 VO 17 IS 2 A1 Jiaqi Chen A1 Michael L. Tindall YR 2014 UL https://pm-research.com/content/17/2/26.abstract AB In this article, the authors replicate major Hedge Fund Research, Inc., style indexes using alternative methods. These methods include stepwise regression, ridge regression, the lasso method, the elastic net, dynamic linear regression, principal component regression, and partial least squares regression. They find generally that, across the major hedge fund style indexes, the best replication results are obtained with methods that employ shrinkage of parameters.TOPICS: Real assets/alternative investments/private equity, style investing, statistical methods, performance measurement