Essays in hedge fund replication, evaluation and synthetic funds

As the overall hedge fund industry performed negatively, the managed futures strategy and the dedicated short bias strategy were the only two strategies with positive returns.

Starting from 60 trading days post event, treated funds on average exhibit 2.6 basis points lower abnormal return per day comparing with control funds, and this result is robust

The results however give hope for the future replication attempts and replication research, as hedge fund risk exposures were obtained with common factors as well as

Philpot and Peterson (2006) examine the effects of mutual fund manager’s characteristics and fund characteristics on funds risk-adjusted returns, market risk and management fees

Kat and Palaro (2005) proposed to replicate the return distribution of the hedge fund and its dependence structure on the investor’s existing portfolio by the dynamic trading

The data sample consists of observations when the fund of funds actually chose to invest with a given fund in a given year, so a potential concern for our results is that the fund

Proposed coverage of hedge funds – the mandate should cover single manager funds and fund of funds that predominantly use alternative investment strategies to generate returns

To better understand the source of skilled hedge funds’ trading profits, we begin by comparing the characteristics of stocks traded by smart hedge funds (i.e. funds in the top