Alternative Beta Strategies and Hedge Fund Replication
“It was around early 2002 when Lars Jaeger and I started exchanging ideas about distinguishing betweenhedge fund alphasandhedge fund betasas different sources of performance. Hitherto, most hedge fund return models were rooted in performance attribution literature. The notion of a rule-based approach to investing into a portfolio of hedge fund strategies, such as investable hedge fund indices, was not much more than a germ of an idea. Lars’ seven-year journey, from embracing the concept ofalternative betato persuading the investment community that this represents an efficient avenue for achieving hedge fund-like returns, is atour de force. This book offers the reader valuable insight into the thinking behind this landmark development in hedge fund research.”Bill Fung,Visiting Research Professor of Finance, Hedge Fund Research Centre,LondonBusinessSchool.