|
|
|
|
|
|
|||
|
Alternative Investment Porfolio ReplicationMany academics have studied whether or not hedge fund returns can be replicated. A sampling of these studies is listed below. Largely the academic research has been conducted with partial or no specific information about the specific investments and strategies employed by the asset manager and challenges have arisen. Unlike these academic studies, the Replicating Portfolio Test and Process operates with fewer challenges because replication is accomplished by using significantly more information that is voluntarily provided by the asset managers themselves. Having specific information about geography, industry sectors, leverage etc. the portfolio replication process is inherently easier, but not simple. If asset managers withhold certain necessary information the replication will not work, which prompts us to go back to the asset managers again until we get the information we need to perform the replication properly. DerivActiv employs the Replicating Portfolio Test and Process to determine fair value under Topic 820. We deliver a process that clients can depend on and auditors can follow. If you are interested in learning more about Topic 820 (formerly FAS 157), you can download a Topic 820 white paper here. You can speak with a DerivActiv expert about alternative investment portfolio replication by calling: 1-866-200-9012.Academic Research on Reverse Engineering Alternative Investments Black, F., and Scholes. “M. The Pricing of Options and Corporate Liabilities.” The Journal of Political Economy, Vol. 81, No. 3 (1973), pp. 637–654. Durate, J., Longstaff, and F.A. Yu. “F. Risk and Return in Fixed-Income Arbitrage: Nickels in Front of a Steam-roller.” The Review of Financial Studies, Vol. 20, No. 3 (2007), pp. 769–811. Genest, C., and Boies. “J.C. Detecting Dependence With Kendall Plots.” The American Statistician, Vol. 57, No. 4 (2003), pp. 1–10. Gupta, B., Szado, and E. Spurgin. “W. Performance Characteristics of Hedge Fund Replication Programs.” The Journal of Alternative Investments, Vol. 11, No. 2 (2008), pp. 61–68. Hasanhodzic, J., and Lo. “A.W. Can Hedge-Fund Returns be Replicated?: The Linear Case.” Journal of Investment Management, Vol. 5, No. 2 (2007), pp. 5–45. Jaeger, L., and Wagner. “C. Factor Modeling and Benchmarking of Hedge Funds: Can Passive Investments in Hedge Fund Strategies Deliver?” The Journal of Alternative Investments, Vol. 8, No. 3 (2005), pp. 9–36. Kat, H.M., and Palaro. “H.P. Who Needs Hedge Funds? A Copula-Based Approach to Hedge Fund Return Replication.” Alternative Investment Research Centre Working Paper, # 0024, 2005. Kat, H. Professor Harry Kat Responds to EDHEC Study on Hedge Fund Replication, 15th March, 2007. Kat, H.M., and Palaro. “H.P. Replication and Evaluation of Fund of Hedge Funds Returns.” Alternative Investment Research Centre Working Paper, # 0028, 2006a. Kat, H.M., and Palaro. “H.P. Superstars or Average Joes? A Replication-Based Performance Evaluation of 1917 Individual Hedge Funds.” Alternative Investment Research Centre Working Paper, # 0030, 2006b. Massey, F.J. “The Kolmogorov-Smirnov Test of Goodness of Fit.” Journal of the American Statistical Association, Vol. 46, No. 253 (1951), pp. 68–78. McNeil, A.J., Frey, and R. Embrechts. P. Quantitative Risk Management: Concepts, Techniques, and Tools, 1st ed. Princeton, NJ: Princeton University Press, 2005. Merton, R.C. “Theory of Rational Option Pricing.” The Bell Journal of Economics and Management Science, Vol. 4, No. 1 (1973), pp. 141–183. Mitchell, M.L., and Pulvino. “T.C. Characteristics of Risk and Return in Risk Arbitrage.” Journal of Finance, Vol. 56, No. 6 (2001), pp. 2135–2175. Papageorgiou, N., Rémillard, and B. Hocquard. “A. Replicating the Properties of Hedge Fund Returns.” The Journal of Alternative Investments, Vol. 11, No. 2 (2008), pp. 11–38. Schmid, F., and Schmidt. “R. Multivariate Conditional Versions of Spearman’s Rho and Related Measures of Tail Dependence.” Journal of Multivariate Analysis, 98 (2007), pp. 1123–1140. |
|
Topic 820 Arbitrage Theory Topic 820 Due Diligence Topic 820 Porfolio Replication Topic 820 Porfolio Valuation Topic 820 Alternative Investments Topic 820 Valuation Topic 820 Investment Services Topic 820 Factor Loadings Topic 820 Fair Value Services Topic 820 Alternative Investments Topic 820 Verification |
|
|
|
|
|
Copyright © 2009 DerivActiv, LLC. All Rights Reserved
|