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A Detailed Analysis of the Construction Methods and Management Principles of Hedge Fund Indices

The aim of this document is to provide a detailed presentation of the different hedge fund indices in order to highlight their strengths and weaknesses. To analyse the reasons for the heterogeneity of their performances, we will focus on the following five points: Transparency & Independence, Accuracy of the data and punctuality, Stability, Representativity, Purity. The first three points will allow us to provide details on the index construction methods. The following two points will allow us to understand the consequences of the heterogeneity of the construction methods in terms of representativity and purity. We will thus be able to reply to the following question: are all hedge funds created equal?

Author(s) :

Mathieu Vaissié

Summary :

The aim of this document is to provide a detailed presentation of the different hedge fund indices in order to highlight their strengths and weaknesses. To analyse the reasons for the heterogeneity of their performances, we will focus on the following five points: Transparency & Independence, Accuracy of the data and punctuality, Stability, Representativity, Purity. The first three points will allow us to provide details on the index construction methods. The following two points will allow us to understand the consequences of the heterogeneity of the construction methods in terms of representativity and purity. We will thus be able to reply to the following question: are all hedge funds created equal?

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Type : EDHEC Publication
Date : 29/12/2003
Keywords :

Indexes