Analysis of hedge fund replication products

• Ano de defesa: 2016
• Autor(a) principal: Candreia, Robin Joël
• Orientador(a): Fernandes, Marcelo
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: eng
• Palavras-chave em Português: Replicação de hedge fundo; Investimento alternativa; Abordagem da replicação
• Palavras-chave em Inglês: Hedge fund replication; Alternative investment; Replication approach
• Link de acesso: http://hdl.handle.net/10438/17286

Hedge fund replication has generated significant academic interest and received increased attention from a broad base of investors. This is mainly driven by its competitive after-fee returns along with its superior liquidity, transparency and lower due diligence costs. The purpose of this dissertation is therefore to provide a detailed critical analysis of available hedge fund replication products. The results show that the performance of replication products can vary widely, and replication approaches are still a work in progress. However, they offer an attractive way to enhance the returns of a portfolio while simultaneously diversifying risk because they show a low correlation to traditional asset classes.