FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W615681036> ?p ?o ?g. }

• W615681036 abstract "In this thesis it is developed and demonstrated the workings of a copula-based technique that allows the derivation of dynamic trading strategies, which generate returns with statistical properties similar to hedge funds. It is shown that this technique is not only capable of replicating fund of funds returns, but is equally well suited for the replication of individual hedge fund returns. Since replication is accomplished by trading futures on traditional assets only, it avoids the usual drawbacks surrounding hedge fund investments, including the need for extensive due diligence, liquidity, capacity, transparency and style drift problems, as well as excessive management fees. This replication technique is also used to evaluate the net-of-fee performance of 875 funds of hedge funds and 2073 individual hedge funds, up to an including November 2006. Comparing fund returns with the returns on dynamic futures trading strategies with the same risk and dependence characteristics, no more than 18.6% of the funds of funds and 22.5% of the individual hedge funds in the data sample convincingly beat the benclunark. Besides the replication and evaluation of funds which already exist in the market, this technology can also be used to create new funds with previously unavailable return characteristics, the so-called `synthetic funds'. In a set of four out-ofsample tests over the period January 1998 - February 2007, it is shown that the replication-based strategies are indeed capable of accurately generating returns with a variety of properties, including negative correlation with stocks and bonds and high positive skewness. The synthetic funds also produce impressive average excess returns. Disappointing performance is leading hedge fund investors to look for cheaper alternatives to invest, such as indices of hedge funds. Unfortunately, investable hedge fund indices are nothing more than funds of funds in disguise, with performance similar or even worse than real funds of funds. The replication technology generates returns with statistical properties very similar to those of hedge fund indices, and a higher average return for most hedge fund categories, but without actually investing in hedge funds." @default.
• W615681036 created "2016-06-24" @default.
• W615681036 creator A5000096304 @default.
• W615681036 date "2007-05-01" @default.
• W615681036 modified "2023-09-27" @default.
• W615681036 title "Essays in hedge fund replication, evaluation and synthetic funds" @default.
• W615681036 cites W1536747925 @default.
• W615681036 cites W1648635813 @default.
• W615681036 cites W1967346054 @default.
• W615681036 cites W198266727 @default.
• W615681036 cites W1989034647 @default.
• W615681036 cites W1994841189 @default.
• W615681036 cites W2005611452 @default.
• W615681036 cites W2007884558 @default.
• W615681036 cites W2009087022 @default.
• W615681036 cites W2011328177 @default.
• W615681036 cites W2014208555 @default.
• W615681036 cites W2030931858 @default.
• W615681036 cites W2045324481 @default.
• W615681036 cites W2054235992 @default.
• W615681036 cites W2056700911 @default.
• W615681036 cites W2057622893 @default.
• W615681036 cites W2058815839 @default.
• W615681036 cites W2060816262 @default.
• W615681036 cites W2065109767 @default.
• W615681036 cites W2068046750 @default.
• W615681036 cites W2077791698 @default.
• W615681036 cites W2078905536 @default.
• W615681036 cites W2080011802 @default.
• W615681036 cites W2086311721 @default.
• W615681036 cites W2091637085 @default.
• W615681036 cites W2098996963 @default.
• W615681036 cites W2101434526 @default.
• W615681036 cites W2106513880 @default.
• W615681036 cites W2107539208 @default.
• W615681036 cites W2108588028 @default.
• W615681036 cites W2118320195 @default.
• W615681036 cites W2122549219 @default.
• W615681036 cites W2130684388 @default.
• W615681036 cites W2136120210 @default.
• W615681036 cites W2152335679 @default.
• W615681036 cites W2165714389 @default.
• W615681036 cites W2798180542 @default.
• W615681036 cites W3121682960 @default.
• W615681036 cites W3123641658 @default.
• W615681036 cites W3124197366 @default.
• W615681036 cites W3125018527 @default.
• W615681036 cites W3125349010 @default.
• W615681036 cites W3125500800 @default.
• W615681036 cites W3126060244 @default.
• W615681036 cites W609833282 @default.
• W615681036 cites W611221139 @default.
• W615681036 cites W1900931321 @default.
• W615681036 hasPublicationYear "2007" @default.
• W615681036 type Work @default.
• W615681036 sameAs 615681036 @default.
• W615681036 citedByCount "0" @default.
• W615681036 crossrefType "dissertation" @default.
• W615681036 hasAuthorship W615681036A5000096304 @default.
• W615681036 hasConcept C10138342 @default.
• W615681036 hasConcept C106306483 @default.
• W615681036 hasConcept C144133560 @default.
• W615681036 hasConcept C155301685 @default.
• W615681036 hasConcept C18123600 @default.
• W615681036 hasConcept C183582576 @default.
• W615681036 hasConcept C190622953 @default.
• W615681036 hasConcept C204434749 @default.
• W615681036 hasConcept C206757995 @default.
• W615681036 hasConcept C34375142 @default.
• W615681036 hasConcept C36444102 @default.
• W615681036 hasConcept C39389867 @default.
• W615681036 hasConcept C40331085 @default.
• W615681036 hasConcept C43089589 @default.
• W615681036 hasConcept C55286048 @default.
• W615681036 hasConcept C64589626 @default.
• W615681036 hasConcept C68387835 @default.
• W615681036 hasConceptScore W615681036C10138342 @default.
• W615681036 hasConceptScore W615681036C106306483 @default.
• W615681036 hasConceptScore W615681036C144133560 @default.
• W615681036 hasConceptScore W615681036C155301685 @default.
• W615681036 hasConceptScore W615681036C18123600 @default.
• W615681036 hasConceptScore W615681036C183582576 @default.
• W615681036 hasConceptScore W615681036C190622953 @default.
• W615681036 hasConceptScore W615681036C204434749 @default.
• W615681036 hasConceptScore W615681036C206757995 @default.
• W615681036 hasConceptScore W615681036C34375142 @default.
• W615681036 hasConceptScore W615681036C36444102 @default.
• W615681036 hasConceptScore W615681036C39389867 @default.
• W615681036 hasConceptScore W615681036C40331085 @default.
• W615681036 hasConceptScore W615681036C43089589 @default.
• W615681036 hasConceptScore W615681036C55286048 @default.
• W615681036 hasConceptScore W615681036C64589626 @default.
• W615681036 hasConceptScore W615681036C68387835 @default.
• W615681036 hasLocation W6156810361 @default.
• W615681036 hasOpenAccess W615681036 @default.
• W615681036 hasPrimaryLocation W6156810361 @default.
• W615681036 hasRelatedWork W129799076 @default.
• W615681036 hasRelatedWork W1548206615 @default.
• W615681036 hasRelatedWork W1552098956 @default.
• W615681036 hasRelatedWork W1567063176 @default.

• next