Alternative Beta Strategies and Hedge Fund Replication

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It was around early 2002 when Lars Jaeger and I started exchanging ideas about distinguishing between hedge fund alphas and hedge fund betas as different sources of performance. Hitherto, most hedge fund return models were rooted in performance attribution literature. The notion of a rule-based approach to investing into a portfolio of hedge fund strategies, such as investable hedge fund indices, was not much more than a germ of an idea. Lars' seven-year journey, from embracing the concept of alternative beta to persuading the investment community that this represents an efficient avenue for achieving hedge fund-like returns, is a tour de force. This book offers the reader valuable insight into the thinking behind this landmark development in hedge fund research." Bill Fung, Visiting Research Professor of Finance, Hedge Fund Research Centre, London Business School.