Re: Hedge Fund Clones

[Daniel Davies <dsquared@xxxxxxxxxxxxxxxx>]

yeah, me.  what do you wanna know?  It's a somewhat fashionable idea at the
moment.  The theory is that you can replicate the performance of the hedge
fund indices to within a reasonable error with a fairly simple regression
model, trading futures to replicate hedge fund performance on the cheap.
the problem appears to be, as we've discovered recently, that there are
plenty of periods during which a "reasonable error" in a regression model is
not so darn reasonable.  It's actually reasonably sensible to have a
quantitative futures trading strategy of some sort or other in your
portfolio if you're a big and risk-tolerant investor, but this "hedge fund
replication" thing is more branding than finance IMO.

best
dd

-----Original Message-----
From: PEN-L list [mailto:PEN-L@xxxxxxxxxxxxxxxx]On Behalf Of Jayson
Funke
Sent: 10 September 2007 20:06
To: PEN-L@xxxxxxxxxxxxxxxx
Subject: Hedge Fund Clones


Anyone on PEN-L familiar enough with hedge funds to comment on this?

http://usa.terrapinnmedia.com/go.asp?/bTUS001/mLJUC44/uII0Z4/xFG1Q4


Jayson Funke

Graduate School of Geography
Clark University
950 Main Street
Worcester, MA 01610