Chapters:
00:00 - Intro
01:10 - Topic thought leadership: Can an ETF replicate a Hedge Fund Strategy?
04:09 - The Process for Hedge Fund Replication can Involve Futures Contracts.
06:10 - Using ETFs to Capture Alpha in a Beta Replication Process.
10:58 - Developing Algorithms for Hedge Fund Benchmark tracking.
12:40 - Don’t Make Promises you Can’t Keep.
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This video touches on a controversial topic in alternative investing: Can an algorithm capture the "alpha" of the individual hedge fund manager with no other information than past returns?
In this interview, alternative investment academic and algorithm developer Thomas Schneeweis makes the case that a certain portion of manager alpha can be reverse engineered by considering nothing other than past returns. One key is understanding how returns are correlated with market environment and then noting performance. Mr. Schneeweis, founder of the Chartered Alternative Investment Analyst Association (CAIA) and the Michael and Cheryl Phillip Professor of Finance at the University of Massachusetts, makes the key point that alpha is often found in portfolio allocation.
Towards the end of the interview, around 10:15, notice the interesting point that daily CTA data is the most interesting view into reverse engineering manager alpha.
We also invite you to register at our new comprehensive Managed Futures resources website www.uncorrelated-investments.com where you will have access to free tools like:
- Managed Futures Academy: Comprehensive educational resource
- Video Tutorials: Understanding CTAs and their performance drivers
- Video Portraits: Meet some of the most successful managed futures managers
- Mark Melin's Industry Insider's Blog
- Needs Analysis: This interactive test helps you to determine your managed futures knowledge level
Remember to register at www.uncorrelated-investments.com.
Thomas Schneeweis, Ph.D. is President of Alternative Investment Analytics, LLC. He is the Michael and Cheryl Philipp Professor of Finance at the Isenberg School of Management at the University of Massachusetts in Amherst, Massachusetts and founding Director of the Center for International Securities and Derivatives Markets (CISDM) at the Isenberg School of Management at the University of Massachusetts. He is a founding Board Member of the Chartered Alternative Investment Analyst Association. He is also the founding Editor of the Journal of Alternative Investments. He has served in various Board positions at both the Managed Funds Association and the Alternative Investment Management Association. He is also an outside trustee of The Managers Funds, a family of multi-manager mutual funds.
