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Hedge Fund Replication pp 133–145Cite as

Palgrave Macmillan

Linear Model for Passive Hedge Fund Replication

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Abstract

Considerable academic research has been conducted on the effectiveness of hedge fund replication methods. In the last five years hedge fund replication products have become part of investment banking. Funds or structured products whose aim is to replicate the returns of hedge funds1 are offered by banks such as Goldman Sachs and Merrill Lynch. Their success is due to two main reasons (1) the low interest rate experienced in developed countries in the last decade and (2) the growing difficulty for hedge funds to produce higher returns when risk premia are driven down by huge flows of private and institutional capital.

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Authors
  1. Giovanni Barone-Adesi
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  2. Simone Siragusa
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Editor information

Editors and Affiliations

  1. State University of New York, Plattsburgh, USA

    Greg N. Gregoriou (Professor of Finance) (Professor of Finance)

  2. EDHEC Business School Research Associate, Nice, France

    Greg N. Gregoriou (Professor of Finance) (Professor of Finance)

  3. Université du Québec à Montréal, Canada

    Maher Kooli (Professor of Finance) (Professor of Finance)

Copyright information

© 2012 Giovanni Barone-Adesi and Simone Siragusa

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Barone-Adesi, G., Siragusa, S. (2012). Linear Model for Passive Hedge Fund Replication. In: Gregoriou, G.N., Kooli, M. (eds) Hedge Fund Replication. Palgrave Macmillan, London. https://doi.org/10.1057/9780230358317_10

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