Synthetic hedge funds

Abstract

JEL classification: G11 G12 G23We provide evidence on the performance and the replication success of a broad sample of 72 synthetic hedge funds from January 2009 to December 2013. Thereby, we assign the term "synthetic hedge fund" to mutual funds and exchange-traded funds with hedge fund indices as their benchmarks. Replication success is measured through different perspectives from distributional characteristics to risk-adjusted performance. We find an overall significant underperformance of synthetic hedge funds compared to an appropriate benchmark index. Furthermore, mutual funds (associated with active portfolio management) can produce return characteristics closer to hedge fund benchmarks than exchange-traded funds (associated with passive management) can. From a single strategy perspective, we find a picture of heterogeneity. Regarding the market environment, we show larger return differences for unusual market conditions than for regular ones. show how hedge fund returns can be sufficiently modeled with exposures to systematic risk factors.http://dx.

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“…Untuk me ngatasi penurunan harga saat musim panen dibuatlah to-arrive contract yang memungkinkan petani gandum mengunci harga untuk transaksi di masa depan. Pada saat pelaksanaan transaksi, petani akan memperoleh harga yang telah dikunci sebelum nya sehingga dengan skema ini petani gandum memperoleh kepastian harga saat terjadi penjualan di masa depan (Brav, Jiang, Ma, & Tian, 2018;Fischer, Hanauer, & Heigermoser, 2016;Rakowski, Shirley, & Stark, 2017).…”