Hopes were high some years ago that hedge fund replication products would be for hedge fund investments something akin to what index funds have been to equity investments. Hedge fund replication products were to provide a low-cost, liquid exposure to hedge fund returns. Around one year ago,...

What is the appropriate level of portfolio allocation towards fund of hedge funds? The well-known core-satellite approach would give a number around 5% or 10%, fund of hedge funds being the satellite allocation. The core allocation should be given to often low-fee, passively managed, classical...

Several hedge fund replication products have been launched over the past three to four years. Consequently a substantial number of products have built up a sufficient track record for performance analysis. This survey investigates the performance of 20 replication funds or indexes over the...

This article analyses a new data base on Ucits "hedge funds", or alternative Ucits funds. These are EU regulated investment vehicles allowing for a relatively large degree of latitude for fund managers which makes them attractive for hedge fund-like strategies. The asset under management of...

This paper studies the performance of a sample of funds of hedge funds (FoHFs) from January 1994 to August 2009. We apply the false discoveries (FD) technique of Barras, Scaillet and Wermers (2010) to separate the FoHFs into skilled, zero-alpha and unskilled. We measure the alpha of the FoHFs...

Whereas return is risky, excess return (alpha) is uncertain. This distinction has surprisingly broad practical implications for investors. Alpha-Uncertainty is a new pair relationship to be considered along the Risk-Return relationship established by modern portfolio theory. Uncertainty...