Factor Modelling and Benchmarking of Hedge Funds: Can passive investments in...
By: Lars Jaeger, Christian Wagner Published: November 2005 Abstract: The hedge fund industry is starting to recognize that a main part of its returns corresponds to risk premia rather than market...
View ArticleFactor Modeling and Benchmarking of Hedge Funds: Can Passive Investment in...
By: Lars Jaeger & Christian Wagner, Partners Group Published: November 7, 2005 This article aims to give reference to this academic effort and provide a coherent discussion on the current status...
View ArticleMerrill Lynch: “New Alternatives in Alternative Investing”
By: Benjamin Bowler, Heiko Ebens, John Davi & Giovanni Amanti, Merrill Lynch Published: October 18, 2006 The end is nigh! The end is nigh! A new report from Merrill Lynch suggests the hedge fund...
View ArticleEVENT: Alternative Beta
Organized By: IRC Dates: February 12-14, 2007 Location: London The dynamic duo of William Fung and David Hsieh have been referred to as the “Gilbert & Sullivan” of the hedge fund world – co-authors...
View ArticleA Financial “Period of Enlightenment”
This is the second of three postings we plan on Alexander Ineichen’s new book Asymmetric Returns. In it, Ineichen argues that alpha is the result, not of security-selection per se, but of downside...
View ArticleHedge replication strategies set for 2007 breakthrough year, says Partners Group
By: HedgeWeek Published: January 12, 2007 Hedge fund uber-guru Lars Jaeger seems to be at odds with the industry he helped create. He tells HedgeWeek.com that hedge fund replication strategies are a...
View ArticleAlternative Beta: Old Wine in New Bottles
By: Guest Contributor to AllAboutAlpha, Professor Harry Kat, Cass Business School, City University (London) February 4, 2007 – Currently, there is a lot of talk among investment practitioners about...
View ArticleAlternative Beta Conference Notebook
ART, meet ABI… Picking up on Goldman Sach’s Absolute Return Tracker and Merrill Lynch’s Equity Volatility Arbitrage Index, JPMorgan is now in the hedge fund replication game. Their new Alternative Beta...
View ArticleJaeger: Hedge Funds Usher in “Atomic” Age of Investing
You don’t need a Ph.D. in physics to understand hedge fund replication. But Lars Jaeger has one just in case. And he used it masterfully today to draw an analogy between the model of the atom in the...
View ArticleMovie Stars, Super Models, and Alternative Beta
The worlds of filmmaking, fashion and finance converge on London this week. Dame Helen Mirren was crowned queen of the world at last night’s BAFTA awards (Britain’s Oscars), London Fashion Week has...
View ArticleCitigroup: Hedge funds a better structure for alpha generation than long-only...
Hedge Funds and The Active Management Industry By: Neil Brown and Rui de Figueiredo, Citigroup Alternative Investments Published: Winter 2007, Citigroup Alternative Investments Journal Citigroup’s Neil...
View ArticleEVENT: Alternative Beta & Hedge Fund Replication USA
Location: New York Dates: October 29-31, 2007 Organized by: Terrapinn Hedge funds aren’t the only thing replicating these days. February’s wildly successful “Alternative Beta & Hedge Fund...
View ArticleKat Launches New Broadside on Hedge Fund Replicators
Professor Harry Kat of the Cass Business School at City University, London, has been a thorn in the side of the hedge fund industry for several years now. And today (April 30), he released his latest...
View ArticleNew Deutsche Bank hedge fund replication offering gets both laurels and darts
Deutsche Bank's new Absolute Return Beta Index is apparently trying to take a different tack than its competition. Unfortunately, however, it may face the same headwinds.Read More
View ArticleNew Edhec HF Replication Research in Limited Release Today
Edhec Risk and Asset Management Research Centre released its latest research into hedge fund replication techniques today at a seminar in London. Its verdict: "attractive" but "unsatisfying". Read More
View ArticleFinal dispatch from un-named hedge fund gathering in Boston
We conclude our coverage of this "no media" hedge fund conference in Boston with: post-Beijing distress, the "Flying Dutchman" and one half of the "Gilbert and Sullivan" of hedge fund research.Read More
View ArticleAlpha, once beatified, now “beta-fied”
Hedge funds have traditionally eked out a living by exploiting market inefficiencies to deliver alpha. But it seems that hedge funds have now also become an important source of "alternative beta". Read...
View ArticleDo individual hedge funds really contain so much beta?
One of our favorite institutional asset managers makes familiar argument this week about the high correlation between run of the mill betas and hedge fund indices.Read More
View ArticleThe expanding (alpha) universe
With the constant flow of hedge fund industry size estimates, it's easy to wonder if the hedge fund industry is going to hit a ceiling at some point. We consulted one of the experts to find out.Read More
View ArticleReplicating Hedge Funds: Traditional beta or alternative beta?
Partners Group's Lars Jaeger says that although you could have replicated hedge funds using equity beta over the past 4 years, "alternative beta" is still where it's at.Read More
View ArticleKat: HF replication using alternative betas very useful but sounds better on...
Guest contributor Professor Harry Kat examines the creation of alternative beta using mechanical trading rules. Read More
View ArticleJaeger Replies to Kat’s Scepticism on Alternative Beta
Lars Jaeger says that Harry Kat's scepticism of alternative beta is based on a number of "inconsistencies" and mathematical short-cuts.Read More
View ArticleKat to Jaeger: “Let’s skip the nitpicking…how useful is modern finance...
In the latest in their ongoing debate, Harry Kat questions Lars Jaeger's reliance on modern finance - a field he calls "utterly disappointing". Read More
View ArticleShadwick to Quants: “Financial models should come with health warnings!”
Dr. William Shadwick, developer of the Omega Function used in risk management, warns that "over-modeling" has "negative consequences"Read More
View ArticleOh, to be a fly-on-the-wall at the recent HF replication conference.
Our intrepid "fly on the wall" buzzed into London for a major conference on hedge fund replication. He reports from his fly-sized Blackberry.Read More
View ArticleAlpha-centric Newsreel
Here is a sample of the news stories we didn’t get a chance to explore in detail this week. As usual, all of them can be found on the Alpha-ticker above or in the news items section of...
View ArticleA Note on Hedge Fund Fees: the Best is Yet to Come
In a guest posting today, veteran portable alpha advocate Angelo Calvello says hedge fund fees may look high - but they sure beat indexing.Read More
View ArticleLars Jaeger
Lars Jaeger Partner and Head of the alternative beta strategies, Partners Group, Switzerland. Author of several leading hedge funds publications. Bio (Partners Group) Research (SSRN) Relevant Postings...
View ArticleAlternative Beta Strategies and Hedge Fund Replication
Title: Alternative Beta Strategies and Hedge Fund Replication Author: Lars Jaeger Published: October 2008 From Publisher: Serving as a handbook for replicating the returns of hedge funds at...
View ArticleOn the road to alpha, it’s okay to ask for directions
With acrimony over hedge funds reaching a feverish pitch, AIMA has just released a major report that tries to take a step back from the brink to revisit the very rationale for alternative investments....
View ArticleJaeger predicts year of alternative beta, the death of “black boxes.”...
Hedge fund industry watcher and alternative beta advocate Lars Jaeger of Partners Group provides us with his hedge fund predictions in this AllAboutAlpha.com exclusive.Read More
View ArticleIllegal Alpha
Sure, alpha exists and can be obtained. The question, though, in the age of frauds, blowups and misnomers, is: can it be attained legally?Read More
View ArticleA Year of Downs and Ups: Our top 10 posts from 2009
Can a whole year be summed up in 10 posts? You decide.Read More
View ArticleFounder of the Journal of Environmental Investing: “It’s all about alpha!”
For many institutional investors, investing in the environment is now all about alpha, not social change.Read More
View ArticleHow Robust is a Smart Beta Strategy?
According to one scholarly count, there are no fewer than 314 factors that might be used in selecting a portfolio, each with a positive historical risk premium. A strategy construction could be...
View ArticleAlpha Comes in Waves
The brief history of replication funds may already be divided into three waves, the third of which is still in formation. The first wave was about democratization: putting hedge fund strategies in the...
View Article
