Send in the Clones? Hedge Fund Replication Using Futures Contracts

@article{Bollen2013SendIT,
  title={Send in the Clones? Hedge Fund Replication Using Futures Contracts},
  author={Nicolas P. B. Bollen and Gregg S. Fisher},
  journal={The Journal of Alternative Investments},
  year={2013},
  volume={16},
  pages={80 - 95}
}
Replication products strive to offer investors some of the benefits of hedge funds while avoiding their high fees, illiquidity, and opacity. The authors of this article test whether a replication algorithm can deliver the diversification and high Sharpe ratio that investors seek. Their procedure constructs monthly clone returns out-of-sample using fully collateralized futures positions held for one-month, with position sizes determined using rolling window regressions. Clone returns have high… 
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