Simulation Based Framework for Hedge Fund Evaluations

  • 28 Jul 2016
  • By Efficient Capital Management and OTPP

This paper creates a new large scale simulation framework for evaluating hedge funds' investments given realistic constraints. An investor can tailor the method to his personal preferences and constraints and can incorporate numerous fund selection and portfolio construction methods. Regardless of the portfolio construction technique, Managed Futures will improve an investor's performance.

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