EDHEC-Risk Concept Industry Analysis Featured Analysis Latest EDHEC-Risk Surveys Features Interviews Indexes and Benchmarking FTSE EDHEC-Risk Efficient Index Series FTSE EDHEC-Risk ERAFP SRI Index EDHEC-Risk Alternative Indexes EDHEC IEIF Quarterly Commercial Property Index (France) Hedge Fund Index Research Equity Index Research Amundi "ETF, Indexing and Smart Beta Investment Strategies" Research Chair Rothschild & Cie "Active Allocation to Smart Factor Indices" Research Chair Index Regulation and Transparency ERI Scientific Beta Performance and Risk Reporting Hedge Fund Performance Performance Measurement for Traditional Investment CACEIS "New Frontiers in Risk Assessment and Performance Reporting" Research Chair Asset Allocation and Alternative Diversification Real Assets Meridiam Infrastructure/Campbell Lutyens "Infrastructure Equity Investment Management and Benchmarking" Research Chair Natixis "Investment and Governance Characteristics of Infrastructure Debt Instruments" Research Chair Société Générale Prime Services (Newedge) "Advanced Modelling for Alternative Investments" Research Chair CME Group "Exploring the Commodity Futures Risk Premium: Implications for Asset Allocation and Regulation" Strategic Research Project Asset Allocation and Derivative Instruments Volatility Research Eurex "The Benefits of Volatility Derivatives in Equity Portfolio Management" Strategic Research Project SGCIB "Structured Investment Strategies" Research ALM and Asset Allocation Solutions ALM and Private Wealth Management AXA Investment Managers "Regulation and Institutional Investment" Research Chair BNP Paribas Investment Partners "ALM and Institutional Investment Management" Research Chair Deutsche Bank "Asset-Liability Management Techniques for Sovereign Wealth Fund Management" Research Chair Lyxor "Risk Allocation Solutions" Research Chair Merrill Lynch Wealth Management "Risk Allocation Framework for Goal-Driven Investing Strategies" Research Chair Ontario Teachers' Pension Plan "Advanced Investment Solutions for Liability Hedging for Inflation Risk" Research Chair Non-Financial Risks, Regulation and Innovations Risk and Regulation in the European Fund Management Industry Index Regulation and Transparency Best Execution: MiFID and TCA Mitigating Hedge Funds Operational Risks FBF "Innovations and Regulations in Investment Banking" Research Chair EDHEC-Risk Publications All EDHEC-Risk Publications EDHEC-Risk Position Papers IPE EDHEC-Risk Institute Research Insights AsianInvestor EDHEC-Risk Institute Research Insights P&I EDHEC-Risk Institute Research for Institutional Money Management Books EDHEC-Risk Newsletter Events Events organised by EDHEC-Risk Institute EDHEC-Risk Smart Beta Day Amsterdam 2017, Amsterdam, 21 November, 2017 EDHEC-Risk Smart Beta Day North America 2017, New York, 6 December, 2017 Events involving EDHEC-Risk Institute's participation EDHEC-Risk Institute Presentation Research Programmes Research Chairs and Strategic and Private Research Projects Partnership International Advisory Board Team EDHEC-Risk News EDHEC-Risk Newsletter EDHEC-Risk Press Releases EDHEC-Risk in the Press Careers EDHEC Risk Institute-Asia EDHEC Business School EDHEC-Risk Executive Education EDHEC-Risk Advances in Asset Allocation Blended Learning Programme 2017-2018 Yale School of Management - EDHEC-Risk Institute Certificate in Risk and Investment Management Yale SOM-EDHEC-Risk Harvesting Risk Premia in Alternative Asset Classes and Investment Strategies Seminar, New Haven, 5-7 February, 2018 Investment Management Seminars Contact EDHEC-Risk Executive Education Contact Us ERI Scientific Beta EDHEC PhD in Finance
EDHEC-Risk Executive Education

Myths and Limits of Hedge Fund Replication Seminar

28 June, 2007 - Marriott Renaissance Chancery Court, London

Detailing the latest findings of the EDHEC Risk and Asset Management Research Centre

A natural step in the institutionalisation of the alternative investment industry, the emergence of hedge fund replication offers has been described as marking the birth of the “atomic age” of investing... To go beyond the marketing spin, a scientific assessment is called for: How do the various offers work? Can these clones deliver? What can alternative managers learn from replication technologies and how should they adapt to this brave new world? What are the merits and limits of replication products for end-investors?

Following recent endeavours by leading investment banks, there has been renewed interest in the financial industry concerning the subject of “passive hedge fund replication.” In a nutshell, these initiatives are meant to enable investors to achieve returns similar to those of hedge funds with significantly lower fees through investment in rules-based replication strategies involving liquid underlying assets. A typical hedge fund clone attempts to track the systematic factor exposure in hedge fund returns, i.e., their traditional and alternative beta components, as opposed to their more elusive alphas.

In a forthcoming survey entitled “The Myths and Limits of Passive Hedge Fund Replication”, the EDHEC Risk and Asset Management Research Centre provides a critical analysis of the various methodologies involved in the replication offers, examines the respective benefits and limits of the “factor-based“ and “payoff-distribution“ hedge fund replication approaches, presents independent tests of each technique’s ability to consistently deliver hedge-fund-like returns, and suggests new directions to improve hedge fund trackers.

Survey co-author and Scientific Director of the EDHEC Risk and Asset Management Research Centre, Professor Lionel Martellini will make an exclusive premiere presentation of the survey results and conclusions. Dr Martellini will introduce hedge fund cloning techniques, describe the tests used to evaluate in-sample and out-of-sample replication performance and present their results and discuss the future of alternative beta tracking with the audience.

  • What are the objectives of hedge fund replication products?
  • How to analyse the diversity of replication offers?
  • What are the technologies underlying hedge fund clones?
  • Can synthetic hedge fund products deliver?
  • What is there to be learnt from replication techniques?
  • Are hedge fund clones threatening alternative managers?
  • What are the implications of hedge fund clones for end-investors?

  • 5:15

  • 5:30-7:00

    – The concept of “passive” replication of hedge funds and the tracking of betas
    – Factor-based models versus payoff distribution approach
    – Benefits and shortcomings of hedge fund clones
    – Robustness of hedge fund replication models
    – Technologies for the next generation of clones: non-linear and conditional factor models

  • 7:00-7:30
    Questions and answers - frontiers in hedge fund replication

  • 7:30-8:00

Seminar Leader:

Lionel Martellini is Professor of Finance at EDHEC Business School and the Scientific Director of the EDHEC Risk and Asset Management Research Centre.

Recent centre outputs co-authored by Lionel Martellini include: The Myths and Limits of Passive Hedge Fund Replication, The Benefits of Hedge Funds in ALM, Investing in Hedge Funds: Adding Value through Active Style Allocation Decisions, and Hedge Fund Indices: Reconciling Investability and Representativity.

He has served as a consultant for various institutional investors, investments banks and asset management firms both in Europe and in the United States on questions related to risk management, alternative investment strategies, and asset allocation decisions in the absence and in the presence of liability constraints and performance benchmarks.

His research has been published in leading academic and practitioner journals including Management Science, The Review of Financial Studies, European Financial Management, Financial Analysts Journal, and Risk. He sits on the editorial board of the Journal of Portfolio Management and the Journal of Alternative Investments.

Lionel has co-authored and co-edited reference texts on fixed-income management and alternative investment and is regularly invited to deliver presentations at leading academic and industry conferences.

He holds graduate degrees in business administration, economics, statistics and mathematics, as well as a PhD in Finance from the Haas School of Business at UC Berkeley.

EDHEC's survey:
"The Myths and Limits of Passive Hedge Fund Replication":

Each participant will receive a printed copy of EDHEC’s forthcoming hedge fund replication survey by Noël Amenc, Walter Géhin, Lionel Martellini and Jean-Christophe Meyfredi.

The study may be purchased separately at a cost of €750 per copy.

  • Registration fees for the evening seminar and debate amount to €750 + VAT where applicable.

  • Fees include a hard copy of the survey and refreshments.

Three easy ways to register:


Marriott Renaissance Chancery Court
252 High Holborn