IDEAS home Printed from https://ideas.repec.org/h/pal/palchp/978-0-230-35831-7_8.html
   My bibliography  Save this book chapter

Hedge Fund Cloning through State Space Models

In: Hedge Fund Replication

Author

Listed:
  • Roberto Savona

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).

Suggested Citation

  • Roberto Savona, 2012. "Hedge Fund Cloning through State Space Models," Palgrave Macmillan Books, in: Greg N. Gregoriou & Maher Kooli (ed.), Hedge Fund Replication, chapter 8, pages 106-118, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-0-230-35831-7_8
    DOI: 10.1057/9780230358317_8
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pal:palchp:978-0-230-35831-7_8. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.palgrave.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.