Capturing hedge fund risk factor exposures: Hedge fund return replication with ETFs.

Autor:	Duanmu, Jun, Li, Yongjia, Malakhov, Alexey
Předmět:	HEDGE funds EXCHANGE traded funds RISK exposure
Zdroj:	Financial Review; Aug2020, Vol. 55 Issue 3, p405-431, 27p, 10 Charts, 1 Graph
Abstrakt:	We develop a new factor selection methodology of spanning the space of hedge fund risk factors with all available exchange traded funds (ETFs). We demonstrate the efficacy of the methodology with out‐of‐sample individual hedge fund return replication by ETF clone portfolios. This is consistent with our interpretation of ETF returns as proxies to risk factors driving hedge fund returns. We further consider portfolios of "cloneable" and "noncloneable" hedge funds, defined as top and bottom in‐sample R2 matches, and demonstrate that our ETF clone portfolios slightly outperform cloneable hedge funds out of sample. [ABSTRACT FROM AUTHOR]
Databáze:	Complementary Index
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