Revisiting the Limits of Hedge Fund Indices

Hedge fund indices have been criticised for a lack of representativity and for their biases, to the point that serious doubts about the usefulness of hedge fund indices have been raised by investors and regulators.

Author(s):

Noel Amenc

Professor of Finance at EDHEC Business School,Director, EDHEC Risk and Asset Management Research Centre

Felix Goltz

Senior Research Engineer, EDHEC Risk and Asset Management Research Centre

This paper examines whether the problems that are outlined for hedge fund indices also exist for other indices that seem to be widely accepted. The drawbacks of hedge fund indices pointed out in the literature do indeed exist. However, in this paper, we point out that there are possible solutions to these problems. In addition, we argue that most of the problems are not specific to hedge fund indices, but also exist with well accepted instruments such as stock market indices.
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Revisiting the Limits of Hedge Fund Indices...
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Type: Working paper
Date: le 13/12/2007
Extra information : Pour plus d'informations, nous vous prions de vous adresser à Joanne Finlay, Direction de la recherche de l'EDHEC [ joanne.finlay@edhec.edu] Les opinions exprimées sont celles de l'auteur et n'engagent pas la responsabilité de l'EDHEC.
Research Cluster : Finance

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