Alternative Beta Strategies and Hedge Fund Replication

The subject of Hedge fund replication and alternative beta has within a short amount of time expanded from the field of academic research into the area of investing and has become one of the dominant discussions in the hedge fund industry. It has long been recognized that a main part of a Hedge Fund's s return corresponds to risk premiums rather than market inefficiencies, i.e. from "beta" instead of "alpha". This has some implication for the industry, among which the most striking is the endeavour to construct investable benchmarks for hedge funds on the basis of an analysis of the underlying systematic risk factors and a subsequent replication of the corresponding risk premiums with generic trading systems. This book reflects on this most recent and increasingly popularised discussion within the global hedge fund industry on "replicating hedge funds". Discusses the topic that has the potential to turn the hedge fund industry upside down. It provides a thorough overview of the latest practices in hedge fund replication and alternative beta strategies in the constantly changing world of hedge fund investing. It describes and addresses the opportunities and challenges that lie therein. Shows the implications for hedge fund portfolio management.

Lars Jaegerholds a PhD degree in theoretical physics from the Max-Planck Institute for Physics of Complex Systems, Dresden. He studied physics and philosophy at the University of Bonn, Germany, and Ecole Polytechnique, Paris. After his post-doctorate studies in Dresden, Lars began his finance career as a quantitative researcher on econometric and mathematical modeling of financial markets at Olsen & Associates AG in Zurich. He subsequently joined the Hedge Fund group of Credit Suisse Asset management, where he was responsible for risk management and quantitative strategy analysis. Lars is a founding partner of saisGroup, an investment firm specializing on alternative investment strategies which in 2001 merged with Partners Group, where he is now a partner heading the group “Alternative Beta Strateges”. Lars holds the CFA charter and is a certified Financial Risk Manager (FRM). He is the author of numerous research publications and the books “Risk Management of Alternative Investment Strategies”, published in 2002 with Financial Times Prentice Hall, “The New Generation of Risk Management for Hedge Funds and Private Equity“ (ed.) published by Euromoney in 2003, and “Through the Alpha Smokescreen: A guide to hedge fund return sources”, published by Institutional Investors (2005). Lars lives with his wife and three children near Zurich, Switzerland.