Investible Benchmarks and Hedge Fund Liquidity
Marc S. Freed and Ben McMillan
The Journal of Wealth Management Winter 2011, 14 (3) 58-66; DOI: https://doi.org/10.3905/jwm.2011.14.3.058
Marc S. Freed
is a managing director at Lyster Watson & Company in New York, NY.
Ben McMillan
is a vice president at Lyster Watson & Company in New York, NY.
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Investible Benchmarks and Hedge Fund Liquidity
Marc S. Freed, Ben McMillan
The Journal of Wealth Management Oct 2011, 14 (3) 58-66; DOI: 10.3905/jwm.2011.14.3.058
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- Article
- Abstract
- ORIGINS OF PERFORMANCE BENCHMARKS
- DECOMPOSING HEDGE FUND RETURNS
- CONSTRUCTING STRATEGY BENCHMARKS WITH RISK FACTORS
- RISK FACTOR CORRELATION AT THE STRATEGY LEVEL
- USING REPLICATION BENCHMARKS TO PRICE HEDGE FUND LIQUIDITY
- ESTIMATED VALUES OF HEDGE FUND ILLIQUIDITY
- CONCLUSIONS
- APPENDIX
- ENDNOTES
- REFERENCES
- Info & Metrics
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