Tuesday, April 8, 2014
In Search of Missing Risk Factors: Hedge Fund Return Replication with ETFs
By Jun Duanmu, Yongjia Li, and Alexey Malakhov of Sam M. Walton College of Business, University of Arkansas
Spanning the space of potential risk factors with exchange traded funds (ETFs), the authors aim at achieving two important objectives: first, separate skill driven from risk driven hedge fund returns, thus identifying hedge fund managers who possess genuine skill (or the lack of thereof), and, second, replicate the risk driven hedge fund return component at a lower cost by avoiding hedge fund fee structure.
Download the full article here.
From the April 2014 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Spanning the space of potential risk factors with exchange traded funds (ETFs), the authors aim at achieving two important objectives: first, separate skill driven from risk driven hedge fund returns, thus identifying hedge fund managers who possess genuine skill (or the lack of thereof), and, second, replicate the risk driven hedge fund return component at a lower cost by avoiding hedge fund fee structure.
Download the full article here.
From the April 2014 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, hedge fund performance, hedge fund risk, hedge funds
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