Hedge fund returns - You can make them yourself

For those interested in academic papers....

We know that hedge fund returns usually are non-normally distributed and non-linearly related with market returns. These characteristics of hedge fund returns can affect traditional measures of performance, like the Sharpe Ratio.
One alternative approach would be to evaluate a Hedge Fund by the cost of a replicating procedure, which would produce the same distribution of returns in the long-run trading liquid future contracts.

There is a paper by me about this study in:

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