Fund ExplorerIndicesInsightsVideosPricing

When Hindsight Becomes Foresight: Replicating Investment Performance

When the tide goes out, you just find equity exposure

Nicolas Rabener
10 min read
24 Jul 2023

This research note was originally published by the CFA Institute’s EI blog.

SUMMARY

  • It is challenging to understand all the different types of investment strategies
  • However, most of them simply offer diluted equity exposure
  • This can be demonstrated via simple S&P 500 + cash combinations

INTRODUCTION

We have analyzed dozens of public and private market investment strategies, such as merger arbitrage and private equity, respectively, over the last few years, and one common theme has emerged. Most of the products described in more than 300 research papers simply provide exposure to the stock market in complicated wrappers. Once the tide goes out, the risk exposure is the same everywhere.

Keep reading with Institutional

Includes the full research library of 400+ articles, plus Returns Analyzer and Risk Analytics for return and risk contribution analysis.