Recent content by Helder

Hello Granville, Thanks for you interest. The method is based on dynamic trading, similar to the hedging of vanilla options. For example, you can hedge a call option trading the underlying asset and cash (readjusting periodically your portfolio according to the 'delta' of the option). In...

For those interested in academic papers.... We used our technology of replication of hedge fund returns (see http://www.elitetrader.com/vb/showthread.php?s=&threadid=59983), to evaluate the performance of Hedge Funds in the following two papers...

Following the last paper, this is a more technical one. Abstract: In this paper we develop and demonstrate the workings of a copula-based technique that allows the derivation of dynamic trading strategies, which generate returns with statistical properties similar to hedge funds. We show...

Dear Waterloo and SethArb, Thanks for your comments. The idea is to create a kind of "exotic option". If you want to replicate the hedge fund distribution and you have some benchmark index (for example S&P500), you can create a payoff function f(S&P500) which produces the desired...

For those interested in academic papers.... We know that hedge fund returns usually are non-normally distributed and non-linearly related with market returns. These characteristics of hedge fund returns can affect traditional measures of performance, like the Sharpe Ratio. One alternative...