FundCreator


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FundCreator Library Papers FundCreator: Reply to the Critics. Download In this paper we address the 10 most common points of criticism on FundCreator. We argue that most of these are largely unjustified and fairly trivial at best and no reason whatsoever to doubt the capability of FundCreator to deliver exactly what it promises: returns with predefined statistical properties. FundCreator-Based Evaluation of Hedge Fund Performance. Download In this paper, we use FundCreator to evaluate the net-of-fee performance of 875 funds of hedge funds and 2073 individual hedge funds, up to and including November 2006. It shows that roughly 80% of hedge funds and fund of funds have generated after-fee returns that do not exceed the returns that investors could easily have generated themselves with FundCreator. Hedge Fund Indexation the FundCreator Way. Download In this paper we apply FundCreator technology to replicate the returns on the popular Edhec, CISDM and HFRI hedge fund indices. The results show that in all cases our synthetic funds' risk profiles are very similar, while average returns are markedly better. In addition, for a moment assuming these indices are indeed investable, the synthetic fund returns have no liquidity or transparency problems whatsoever, which makes them even more valuable. Tell Me What You Want, What You Really, Really Want! Download This paper contains a detailed discussion of 4 out-of-sample tests of synthetic funds over the period March 1995 – April 2006. The funds studied offer a variety of highly desirable properties, including zero and even negative correlation with stocks and bonds, high positive skewness, and explicitly floored monthly returns. Alternative Routes to Hedge Fund Return Replication. Download This paper discusses the differences between FundCreator and the usual factor model approach to hedge fund return replication. It shows that the factor model approach has serious difficulty producing acceptable replicas, even for some of the most diversified hedge fund indices. Short Notes Shortcuts to Selecting Hedge Fund Clones. Download In this note we discuss why hedge fund replication products that do not trade dynamically in and out of markets are unlikely to make good diversifiers. In the end, it is diversification properties that investors should be interested in, not replication accuracy. The FundCreator View on Hedge Fund Replication. Download In this note we argue against the use of terms like 'hedge fund clone' and 'hedge fund replication'. Synthetic funds should preferably be referred to as “hedge fund inspired” or “hedge fund resembling” funds, as that is exactly what they are: funds with risk characteristics that resemble those of hedge funds. Alternative Beta: Old Wine in New Bottles. Download In this brief note we discuss the true meaning of the term Alternative Beta, concluding that Alternative Beta is a lot more traditional than many people would like us to believe. Why Accurately Replicated HF Indices Won't Do You Much Good. Download In this note we argue that the only hedge fund indices that can be replicated accurately are exactly those indices that investors should not be interested in, as they provide little or no diversification benefits. In addition, we show that accurate replication is certainly not synonymous with a stable risk profile. Technical Notes FundCreator, Transaction Costs and Rebalancing. Download In this note we discuss the impact of transaction costs and the rebalancing frequency on FundCreator strategies. Supported by various examples, we show that FundCreator is robust with respect to the level of transaction costs and that the time-sensitivity of FundCreator trades is very low. FundCreator and the Reference Portfolio. Download In this note we discuss the impact of the reference portfolio on FundCreator strategies. Supported by various examples, we show that FundCreator strategies are remarkably robust with respect to the choice of reference portfolio. FundCreator and the Reserve Asset. Download In this note we discuss the importance of the reserve asset for FundCreator strategies. Supported by various examples, we show that FundCreator strategies are strikingly robust with respect to the choice of reserve asset. Return to Main Page Copyright © 2007 Isambard Decision Making Systems Ltd. All Rights Reserved.


Disclaimer: Isambard Decision Making Systems Ltd (IDMS) does not provide investment advice or investment management services of any kind whatsoever. IDMS makes no representation that the information and opinions expressed on this website are accurate, complete or up-to-date. IDMS disclaims, without limitation, all liability for any loss or damage of any kind, including any direct, indirect or consequential damages, which might be incurred through the use of or access to the FundCreator website, through the use of its software or any links to third-party websites.