The Credit Suisse Tremont Hedge Fund index, a gauge measuring the returns of 10 hedge-fund strategies, has a correlation with the MSCI World of 0.83 over five years.

Its correlation with the HFRI Hedge Fund Index is 0.91.

“Finding historical alpha is easy, but finding future alpha is very difficult,” Moskowitz says.

“People spend too little time on whether they have the right betas, and too much time on alpha.” Alpha and beta are tools investors can use to achieve higher rewards with lower risk. But investors often get confused by the jargon, he says.

Furthermore, the alphas and betas in hedge funds are hard to measure because funds report returns themselves, the illiquid instruments that are used and the lack of transparency.

A way to access alternative hedge- fund risk premia – the common risk factors associated with alternative or hedge-fund strategies – is through futures contracts based on underlying indexes and stocks, and those used to hedge particular risks, such as the movements of interest rates and currencies.

“Simple managed-futures strategies capture a significant portfolio of manager returns,” Moskowitz says.

This can be achieved by running simple managed-futures strategies across multiple asset classes, and regressing the returns of the largest managed-futures managers and indexes on those of the strategies.

“This applies a systematic quant style to a set of diversified and liquid instruments with trades triggered on trend following or momentum signals,” he says.

Moskowitz, who also holds a research associate position at the National Bureau of Economic Research, is an adviser to AQR Capital Management, which has $2.4 billion of its $47.5 billion in managed-futures strategies.