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...

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,...

The problem we address here is the replication of a bond benchmark when only a fraction of the portfolio is invested for the replication. Our methodology is based on a minimization of the tracking error subject to a set of constraints, namely (1) the fraction invested for the replication, (2) a...

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...

Alternative Risk Premia (ARP) are rule-based strategies. They should reward investors exposed to non-traditional systematic risk factors. Yet, allocation to ARP is not straightforward. First, there are many ARP indices proposed by different providers that claim to capture the same underlying...