Performance of passive hedge fund replication strategies

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These initiatives are meant, while paying significantly lower fees, to enable investors to achieve returns similar to those of hedge funds by investing in a set of rules-based strategies based on liquid underlying assets aiming to replicate hedge fund performance or at least the systematic factor exposure in hedge fund returns, for example their (traditional and alternative) beta components1, as opposed to their alpha components.

The Merrill Lynch Factor Index and the Goldman Sachs Absolute Retu

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