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Hedge Fund Replication Report 2
FINC3017 - Investments and Portfolio Management
2 Found helpful • 8 Pages • Essays / Projects • Year: Pre-2021
A Hedge Fund is financial instrument that generates a positive return in both a rising and falling market through the use of complex strategies that include; derivatives, use of borrowed money, leverage, short selling and offshore investments (ASIC 2015). Hedge fund replication involves the use of liquid Exchange Traded Funds (ETFs) in order to replicate the risk-return profile of a hedge fund (Subhash and Enke 2014). This strategy uses the ETFs in a regression analysis that contain the common factors of; emerging market, credit spread, bond market, S&P500 index and a size factor to generate a clone of a Hedge Fund. Hedge fund replicators are products sold by financial institution that seek to match the returns of a hedge fund, without the high costs associate with being involved in a Hedge Fund (Grummitt and Satchell 2011).
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