Hedge Fund Return Replication via Learning Models

R. McFall-Lamm

Chapter 9 in Hedge Fund Replication, 2012, pp 119-132 from Palgrave Macmillan

Abstract: Abstract The desire to replicate hedge fund returns is a natural response to the industry’s rapid growth from the early 2000s and its emergence as a $2 trillion “asset class.” After all, if the same return stream produced by hedge funds is available with greater liquidity, more transparency, and the avoidance of excessive fees, then a synthetic substitute offers tremendous appeal. While an impartial observer might question why hedge fund demand remains strong after the 2008 experience—when the industry posted losses of 20 percent—the fact is that inflows continue at a robust pace driven by ongoing commitments from institutions. Hedge fund investing is now the status quo.

Keywords: Root Mean Square Error; Ordinary Little Square; Hedge Fund; Rolling Window; Clone Performance (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-0-230-35831-7_9

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DOI: 10.1057/9780230358317_9

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