There s a buzzword that has quickly captured the imagination of
product providers and investors alike: ‘hedge fund replication’. In
the broadest sense, replicating hedge fund strategies means
replicating their return sources and corresponding risk exposures.
However, there still lacks a coherent picture on what hedge fund
replication means in practice, what its premises are, how to
distinguish di erent approaches, and where this can lead us to.
Serving as a handbook for replicating the returns of hedge funds
at considerably lower cost, Alternative Beta Strategies and
Hedge Fund Replication provides a unique focus on replication,
explaining along the way the return sources of hedge funds, and
their systematic risks, that make replication possible. It explains
the background to the new discussion on hedge fund replication and
how to derive the returns of many hedge fund strategies at much
lower cost, it differentiates the various underlying approaches and
explains how hedge fund replication can improve your own investment
process into hedge funds.
Written by the well known Hedge Fund expert and author Lars
Jaeger, the book is divided into three sections: Hedge Fund
Background, Return Sources, and Replication Techniques. Section one
provides a short course in what hedge funds actually are and how
they operate, arming the reader with the background knowledge
required for the rest of the book. Section two illuminates the
sources from which hedge funds derive their returns and shows that
the majority of hedge fund returns derive from systematic risk
exposure rather than manager ‘Alpha’. Section three presents
various approaches to replicating hedge fund returns by presenting
the first and second generation of hedge fund replication products,
points out the pitfalls and strengths of the various approaches and
illustrates the mathematical concepts that underlie them.
With hedge fund replication going mainstream, this book provides
clear guidance on the topic to maximise returns.
Over de auteur
Lars Jaeger holds a Ph D degree in theoretical physics from
the Max-Planck Institute for Physics of Complex Systems, Dresden.
He studied physics and philosophy at the University of Bonn,
Germany, and Ã?cole Polytechnique, Paris. After his
post-doctorate studies in Dresden, Lars began his finance career as
a quantitative researcher on econometric and mathematical modeling
of financial markets at Olsen & Associates AG in Zurich. He
subsequently joined the Hedge Fund group of Credit Suisse Asset
management, where he was responsible for risk management and
quantitative strategy analysis. Lars is a founding partner of
sais Group, an investment firm specializing on alternative
investment strategies which in 2001 merged with Partners Group,
where he is now a partner heading the group â??Alternative
Beta Strategesâ??. Lars holds the CFA charter and is a
certified Financial Risk Manager (FRM). He is the author of
numerous research publications and the books Risk Management of
Alternative Investment Strategies, published in 2002 with
Financial Times Prentice Hall, The New Generation of Risk
Management for Hedge Funds and Private Equity (ed.) published
by Euromoney in 2003, and Through the Alpha Smokescreen: A guide
to hedge fund return sources, published by Institutional
Investors (2005). Lars lives with his wife and three children near
Zurich, Switzerland.
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