This article introduces the concept of asymmetric hedge fund replication based on the risk factor model approach. The presented methodology is founded on downside risk management and offers an enhancement of existing hedge fund replication techniques. From a conceptual perspective, asymmetric...

In this article, the authors introduce a regime-dependent nonlinear model to explain the nonlinear return and risk characteristics of hedge funds. The explanatory power of their regime-dependent nonlinear model is substantially higher than the explanatory power of simple linear regression...

We find that high-priced stocks show significantly higher Sharpe ratios than low-priced stocks. Also, price as an investment style is especially beneficial when applied in a multi-investment style setting, reducing portfolio volatility significantly while adding additional alpha. Implementing...