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dc.contributor.authorHeidorn, Thomasen_US
dc.contributor.authorHoppe, Christianen_US
dc.contributor.authorKaiser, Dieter G.en_US
dc.date.accessioned2009-05-15en_US
dc.date.accessioned2009-09-10T13:48:25Z-
dc.date.available2009-09-10T13:48:25Z-
dc.date.issued2006en_US
dc.identifier.piurn:nbn:de:101:1-2008082777en_US
dc.identifier.urihttp://hdl.handle.net/10419/27839-
dc.description.abstractMost research on the performance and risk of hedge funds are based on calculations that just use the data from one index provider. Also most product providers and even more and more investors are using hedge fund indices for benchmarking purposes. As some academic articles pointed out, the world of hedge fund indices is very heterogeneous. So the empirical results on the optimal hedge fund allocation an investor would obtain by using the indices of one data provider could severely change if he would use another subset of indices. This paper analyses the heterogeneity of hedge fund indices that results from the fact that each index provider looks at a different subset of underlying hedge funds. Therefore we calculate different risk and return measures for the data series of six different hedge fund index providers and highlight the observed differences. In a next step, we rank the results we obtained, to find out which composite and strategy indices from which data provider are best used for benchmarking purposes from the point of view of the investor.en_US
dc.language.isogeren_US
dc.publisherHfB - Business School of Finance & Management Frankfurt a. M.en_US
dc.relation.ispartofseriesWorking paper series // HfB - Business School of Finance & Management 71en_US
dc.subject.jelG11en_US
dc.subject.jelG15en_US
dc.subject.jelG24en_US
dc.subject.ddc330en_US
dc.subject.keywordHeterogenitäten_US
dc.subject.keywordVolatilitäten_US
dc.subject.keywordSharpe Ratioen_US
dc.subject.keywordSterling Ratioen_US
dc.subject.keywordCalmar Ratioen_US
dc.subject.keywordOmegaen_US
dc.subject.keywordAutokorrelationen_US
dc.subject.keywordSortino Ratioen_US
dc.subject.keywordSchiefeen_US
dc.subject.keywordWölbungen_US
dc.subject.keywordKurtosisen_US
dc.subject.keywordPersistenzen_US
dc.titleHeterogenität von Hedgefondsindizesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn57767496Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:fsfmwp:71-
Appears in Collections:Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management

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