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Linear Model for Passive Hedge Fund Replication

In: Hedge Fund Replication

Author

Listed:
  • Giovanni Barone-Adesi
  • Simone Siragusa

Abstract

Considerable academic research has been conducted on the effectiveness of hedge fund replication methods. In the last five years hedge fund replication products have become part of investment banking. Funds or structured products whose aim is to replicate the returns of hedge funds1 are offered by banks such as Goldman Sachs and Merrill Lynch. Their success is due to two main reasons (1) the low interest rate experienced in developed countries in the last decade and (2) the growing difficulty for hedge funds to produce higher returns when risk premia are driven down by huge flows of private and institutional capital.

Suggested Citation

  • Giovanni Barone-Adesi & Simone Siragusa, 2012. "Linear Model for Passive Hedge Fund Replication," Palgrave Macmillan Books, in: Greg N. Gregoriou & Maher Kooli (ed.), Hedge Fund Replication, chapter 10, pages 133-145, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-0-230-35831-7_10
    DOI: 10.1057/9780230358317_10
    as

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