- Joined
- 12/28/10
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Hey guys,
I'm considering doing some undergrad research on hedge fund beta replication (as opposed to percolation theory as I would prefer to have something more pertinent to talk about during rising Senior BB interviews). Does anyone have any thoughts on this? Pointless, too complicated, interesting, etc.. any feedback is welcomed. I've read a couple papers on it, but haven't seen any analysis too much more complicated than a regression model.
The relevant professors at my school have not yet responded to my emails, probably because they're out of office, but I'm itching to get started on something. I did a couple simple least squares regressions on a HF index using like 5 indices as independent variables and it failed miserably (rsquared around 40, but monthly returns of the replication over 2004-2009 around -80% while the HF index returned about -10%)... is this a topic worth pursuing as an undergrad?
p.s. As an undergrad I'd like to think of myself as fairly advanced in probability/finance
I'm considering doing some undergrad research on hedge fund beta replication (as opposed to percolation theory as I would prefer to have something more pertinent to talk about during rising Senior BB interviews). Does anyone have any thoughts on this? Pointless, too complicated, interesting, etc.. any feedback is welcomed. I've read a couple papers on it, but haven't seen any analysis too much more complicated than a regression model.
The relevant professors at my school have not yet responded to my emails, probably because they're out of office, but I'm itching to get started on something. I did a couple simple least squares regressions on a HF index using like 5 indices as independent variables and it failed miserably (rsquared around 40, but monthly returns of the replication over 2004-2009 around -80% while the HF index returned about -10%)... is this a topic worth pursuing as an undergrad?
p.s. As an undergrad I'd like to think of myself as fairly advanced in probability/finance