17 August 2017
Find out more

TrueBeta launches dynamic leverage model for hedge fund replication

14 January 2010  |  1340 views  |  0 Source: TrueBeta

TrueBeta, the first independent, factor-based hedge fund replication service, today announced the launch of a dynamic leverage model for hedge fund replication.

The application of dynamic leverage will significantly improve TrueBeta's correlation to broad hedge fund performance.

"TrueBeta is setting a benchmark for the replication accuracy," TrueBeta CEO Rabbe Ekholm said. "The new dynamic leverage model will enable TrueBeta to explicitly reflect the impact of variations in leverage across market cycles."

The TrueBeta dynamic leverage model is based on return trends in major market indices, primarily the S&P 500, adjusted monthly. TrueBeta determined through extensive quantitative testing that changes in leverage are primarily driven by broad trends in market returns. TrueBeta's leverage will move between 1 and 2, compared with a fixed 1.5 of the original model.

For calendar year 2009, the new dynamic leverage model showed a correlation of 0.95 with the industry-standard Hedge Fund Research Index compared to 0.91 of the original TrueBeta model. The dynamic model had a compound 2009 return of 13.7 percent after fees, versus the 10.9 percent achieved by the original model.

TrueBeta will publish both its standard and enhanced methodologies until May 2010, after which the enhanced methodology will become the new standard. During the transition period, TrueBeta may adjust aspects of the dynamic leverage model based on feedback from clients and other market participants.

Comments: (0)

Comment on this story (membership required)

Related blogs

Create a blog about this story (membership required)
download the paper nowvisit www.dorsum.euvisit www.worldpaymentsreport.com

Top topics

Most viewed Most shared
Coinbase raises $100mCoinbase raises $100m
10346 views comments | 14 tweets | 14 linkedin
DBS Bank launches online car selling marketplaceDBS Bank launches online car selling marke...
9730 views comments | 13 tweets | 11 linkedin
China preps central clearing house for mobile payments providersChina preps central clearing house for mob...
9621 views comments | 8 tweets | 15 linkedin
HSBC automates documentary trade processing with IBMHSBC automates documentary trade processin...
8548 views comments | 6 tweets | 21 linkedin
Monzo appoints Curve co-founder Foster-Carter COOMonzo appoints Curve co-founder Foster-Car...
8032 views comments | 1 tweets | 2 linkedin

Featured job

Find your next job