Passive Hedge Fund Replication – Beyond the Linear Case
评估了多种非线性和条件对冲基金复制模型在样本外的表现，发现线性模型未必逊色，而基于经济分析选择因子能显著提升复制质量，但复制策略整体仍不如真实对冲基金。
Abstract In this paper we extend Hasanhodzic and Lo (2007) by assessing the out‐of‐sample performance of various non‐linear and conditional hedge fund replication models. We find that going beyond the linear case does not necessarily enhance the replication power. On the other hand, we find that selecting factors on the basis on an economic analysis allows for a substantial improvement in out‐of‐sample replication quality, whatever the underlying form of the factor model. Overall, we confirm the findings in Hasanhodzic and Lo (2007) that the performance of the replicating strategies is systematically inferior to that of the actual hedge funds.