Abstract
Replicating hedge fund returns requires a clear understanding of complex strategies implemented by fund managers. One way to do this is through regression analysis, by which an investment fund’s return can be expressed as a function of (Fung and Hsieh, 1997): (1) where it trades (asset class-driven returns), (2) how it trades (strategy-driven returns), and (3) how much it trades (leverage-driven returns).
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References
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© 2012 Roberto Savona
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Savona, R. (2012). Hedge Fund Cloning through State Space Models. In: Gregoriou, G.N., Kooli, M. (eds) Hedge Fund Replication. Palgrave Macmillan, London. https://doi.org/10.1057/9780230358317_8
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DOI: https://doi.org/10.1057/9780230358317_8
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-34059-0
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