%0 Journal Article %A Nicolas P.B. Bollen %A Gregg S. Fisher %T Send in the Clones? Hedge Fund Replication Using Futures Contracts %D 2013 %R 10.3905/jai.2013.16.2.080 %J The Journal of Alternative Investments %P 80-95 %V 16 %N 2 %X Replication products strive to offer investors some of the benefits of hedge funds while avoiding their high fees, illiquidity, and opacity. The authors of this article test whether a replication algorithm can deliver the diversification and high Sharpe ratio that investors seek. Their procedure constructs monthly clone returns out-of-sample using fully collateralized futures positions held for one-month, with position sizes determined using rolling window regressions. Clone returns have high correlation with their hedge fund targets, indicating replication is possible. Clones also have high correlation with a buy-and-hold investment in stocks, however, and neither the targets nor their clones demonstrate successful time variation in factor loadings.TOPICS: Real assets/alternative investments/private equity, futures and forward contracts, statistical methods, performance measurement %U https://jai.pm-research.com/content/iijaltinv/16/2/80.full.pdf