In this paper we use the FundCreator hedge fund return replication technique recently introduced in Kat and Palaro (2005) 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...

Disappointing performance is leading hedge fund investors to look for cheaper alternatives. Hedge fund indexation has been suggested as a possible solution. Unfortunately, investable hedge fund indices are nothing more than funds of funds in disguise, with performance similar or even worse than...

With average hedge fund performance steadily deteriorating and equity markets picking up again, interest in hedge fund return replication as a cheaper means of obtaining hedge fund-like returns is growing steadily. Currently, there are various products on offer. Compared to real hedge funds (of...

In this paper we discuss a number of important questions to ask when analysing a new alternative diversifier from either a stand-alone, asset-only or asset-liability point of view. The framework is simple, but highly effective. Apart from the new diversifier's statistical properties, it...

Recently, Kat and Palaro (2005) showed how dynamic trading technology can be used to create dynamic futures trading strategies (or 'synthetic funds' as we call them), which generate returns with predefined statistical properties. In this paper we put their approach to the test. In a set of four...