24 October 2017
visit www.atos.net

TrueBeta launches dynamic leverage model for hedge fund replication

14 January 2010  |  1357 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)
visit www.vasco.comRegister nowvisit www.innotribe.com

Top topics

Most viewed Most shared
Mastercard to roll out blockchain APIMastercard to roll out blockchain API
20395 views comments | 31 tweets | 44 linkedin
HSBC partners Bud for open banking trialHSBC partners Bud for open banking trial
15494 views comments | 24 tweets | 32 linkedin
Sibos 2017: API or the highwaySibos 2017: API or the highway
11133 views comments | 12 tweets | 23 linkedin
Eight banks form joint venture to launch blockchain trade platformEight banks form joint venture to launch b...
9247 views comments | 15 tweets | 29 linkedin

Featured job

Find your next job