www.irc-conferences.com/2008/altbeta/Custom_15628.stm -
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Published on: 2/13/2007
Last Visited: 10/25/2007
Not surprisingly, since SSgA's replicator has been developed, Bill Fung, David Hsieh and Narayan Naik have been working together on it.
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Mr. Hsieh is Bank of America Professor of Finance in North Carolina's Duke University.
"Bill and I have been working on identifying the components of hedge fund returns for 10 years," said Mr. Hsieh in a conversation with HedgeWorld earlier this month.
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Fung, Hsieh and Naik have studied extensively.
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"We're tracking general trends," Mr. Hsieh said.
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Further, noted Mr. Hsieh, the risk management of the portfolio is guided by the decisions made by the individual investor, "so their asset allocation tells us where they want concentrated risks and where they don't."
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"If someone could replicate the performance of illiquid securities, they'd have launched a product on the market by now," added Mr. Hsieh.
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First, JP Morgan has partnered with three academics that have led the research in the field of hedge fund replication tools: Bill Fung and Narayan Naik from the London Business School and David Hsieh from Duke University.
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Fung, Hsieh and Naik, known in the academic world under the FHN acronym.
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Only able to attend one of these three events, Alpha Male eschewed the movie stars and super models and chose instead to spend the week with hedge fund stars such as Fung, David Hsieh, and Lars Jaeger.
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David A. Hsieh, a finance professor at the Fuqua School of Business at Duke University, said:"Even if the replication strategies work, they will not deliver 'alpha.' " The term alpha refers to a manager's ability to produce returns above the overall market's average or better than a benchmark, such as the Standard & Poor's 500-stock index.Beta, on the other hand, measures an investment's volatility relative to the market, and has in broad usage come to mean the return one gets from market movements.Because a hedge fund's alpha portion comes from unknown trading strategies or unknown dynamic allocation to trading strategies, it can't be replicated, Mr. Hsieh said.Passive investing has transformed traditional investing, as index funds have garnered a significant share of mutual-fund and institutional assets.
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David A. Hsieh, Professor of Finance, Duke University
...
Not surprisingly, since SSgA's replicator has been developed, Bill Fung, David Hsieh and Narayan Naik have been working together on it.
...
Mr. Hsieh is Bank of America Professor of Finance in North Carolina's Duke University.
"Bill and I have been working on identifying the components of hedge fund returns for 10 years," said Mr. Hsieh in a conversation with HedgeWorld earlier this month.
...
Fung, Hsieh and Naik have studied extensively.
...
"We're tracking general trends," Mr. Hsieh said.
...
Further, noted Mr. Hsieh, the risk management of the portfolio is guided by the decisions made by the individual investor, "so their asset allocation tells us where they want concentrated risks and where they don't."
...
"If someone could replicate the performance of illiquid securities, they'd have launched a product on the market by now," added Mr. Hsieh.
...
First, JP Morgan has partnered with three academics that have led the research in the field of hedge fund replication tools: Bill Fung and Narayan Naik from the London Business School and David Hsieh from Duke University.
...
Fung, Hsieh and Naik, known in the academic world under the FHN acronym.
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