On the tracking and replication of hedge fund optimal investment portfolio strategies in
global The hedge fund represents a unique investment opportunity for the institutional and …

We examine whether the success of hedge fund market timing strategies can be replicated.
We develop a methodology for creating a portfolio of ETFs to capture risk factor exposures of …

Hedge fund managers have long touted their ability to add alpha particularly in times of
market stress. As the rapid growth of the ETP landscape has given rise to more liquid …

We argue that only hedge funds whose returns are driven by beta management of
exposures to latent risk factors could be successfully replicated. We develop a methodology …