Hedge Fund Cloning through State Space Models

Roberto Savona

Chapter 8 in Hedge Fund Replication, 2012, pp 106-118 from Palgrave Macmillan

Abstract: 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).

Keywords: State Space Model; Hedge Fund; Excess Return; Sharpe Ratio; Cumulative Return (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1057/9780230358317_8

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