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Dec
14
comment Cloning Return Streams
First and foremost, don’t make assumptions of who I am (PM), as I am merely a humble 21 year old undergraduate student with a passion for quantitative finance. : ] Second of all I am not stealing ideas from anyone. The majority of hedge fund strategies can be categorized in about 10 different styles. If I am stealing, hell where do you think all the hedge funds that are just starting out get their ideas from, mars?
Dec
14
revised Cloning Return Streams
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Dec
13
accepted Cloning Return Streams
Dec
13
comment Cloning Return Streams
thanks for the detailed answer. the reason I think its possible is because hedge fund return is dominated by beta, and therefore it should in theory be replicable to a certain extend. I got the idea when I was reading a book that mentioned standard beta based asset classes' return can be separated between risk free, structural beta, and structural alpha. The only component that offers diversification is the structural alpha, all others that have risk return characters below the cash equity line can be in theory replicated by a mix of cash and equities. I may be interpreting it wrong.
Dec
13
comment Cloning Return Streams
I am trying to figure out ways to tap in to different lowly correlated return streams to help diversify existing portfolios. And it seems hedge fund is a good place to start given their diverse market exposure.
Dec
13
comment Cloning Return Streams
i beg to differ, there are lot of hedge funds that are dominated by beta rather than alpha. B-water did two piece of analysis and found that excess hedge fund return is practically flat since '09. Also they were able to replicate some strategy with 80% correlation (ie Emerging market hedge funds)
Dec
13
asked Cloning Return Streams
Dec
11
awarded  Benefactor
Dec
11
accepted How to calculate discounted inflation and growth?
Dec
4
awarded  Editor
Dec
4
revised How to calculate discounted inflation and growth?
added 551 characters in body
Dec
4
awarded  Promoter
Nov
23
comment How to make the final Interpretation of PCA?
I had the same problem earlier. cs.otago.ac.nz/cosc453/student_tutorials/… was something others directed to my attention and it helped quite a bit.
Nov
23
asked How to calculate discounted inflation and growth?
Nov
22
awarded  Critic
Nov
1
accepted Minimizing Correlation
Oct
5
accepted Generating Return Streams for stress testing
Oct
4
asked Generating Return Streams for stress testing
Sep
25
awarded  Commentator
Sep
20
accepted Accounting for Withdrawals