Mathematical Finance Technical University of Munich Munich D-80333 Germany;
Portfolio Analytics&Management Sigma Analysis&Management Ltd. Toronto ON M5G1M1 Canada;
Department of Mathematics University of Toronto Toronto ON M5S1A1 Canada;
Investments&Risk Analytics Sigma Analysis&Management Ltd. Toronto ON M5G1M 1 Canada;
Mathematical Finance Technical University of Munich Munich D-80333 Germany;
hedge funds; hedge fund index; segmented linear regression models; regime-switching models; mimicking portfolios; single factor-based hedge fund replication; equity long–short strategy;