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Eurex Project 2012

In cooperation with Eurex Group we started in late 2010 two research projects focusing on effective replicating of hedge fund strategies using derivatives listed on EUREX. Their final results were presented on the conference held at the University of Warsaw on the 5th of December, 2012.

    1. Replicating long/short hedge fund strategies using time-varying linear regression models

The project consists of two parts. First of all, the asset classes in which hedge fund-like mutual funds invest are extracted with the use of multi-factor performance attribution model. Then, it is checked whether diversification benefit comes from extending these asset classes by derivatives traded on Eurex with the utilization of Markowitz model. The initial results suggests that incorporation of the Eurex products into the universe of investable assets is capable of improving Sharpe ratios of Multi-Strategy, Managed Futures and Emerging Markets funds

    1. Replicating mutual fund strategies using linear regression models

This paper examines the use of selected derivatives contracts traded on Eurex Exchange to replicate the structure of well performing world allocation mutual funds strategies during the last 3 years. We introduce a concept of linear regression models which replicate selected mu- tual funds strategies using Eurex products. Chow Test and Quandt Test are used to nd structural break in the regression parameters. Initial results suggest that identi cation of structural break allow investors to replicate mutual funds strategies more accurately using Eurex products.