Imitation - or replication - is the sincerest form of flattery


The attempt to build portfolios mimicking the statistical properties of hedge fund strategies is a response to the criticism made of hedge funds by investors regarding their lack of liquidity, lack of transparency, lack of capacity, excessive management fees and style drift.

The large number of studies striving to replicate hedge fund performance does not therefore come as a big surprise.

Two main replication approaches can be distinguished: passive replication and dynamic replication.

While a pass