On the Consistency of Hedge Fund Indexes across Providers

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type , Research 01 Jan 2009 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

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Authors: Dietiker, Oliver;

doi: 10.2139/ssrn.1458013

handle: 10419/148642

On the Consistency of Hedge Fund Indexes across Providers

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Abstract

Based on the style analysis pioneered in [Sharpe, W.F. (1992). Asset Allocation: Management style and Performance Measurement, Journal of Portfolio Management, 7-19.] I define a procedure to examine the consistency of hedge fund indexes across providers. The results of my investigation suggest that the competing indexes of the different providers are homogeneous. However, I also find two cases for which one provider differently allocates the funds between styles compared to its peers.

Related Organizations

University of Basel
Switzerland

Keywords

ddc:330

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