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http://hdl.handle.net/10419/36695
  
Titel:The value-added of investable hedge fund indices PDF Logo
Autoren:Heidorn, Thomas
Kaiser, Dieter G.
Voinea, Andre
Datum:2010
Reihe/Nr.:Working paper series // Frankfurt School of Finance & Management 141
Zusammenfassung:This paper empirically investigates the risk and performance of three types of alternative beta products over the January 2002 to September 2009 time period: funds of hedge funds (FHFs), investable hedge fund indices (IHFIs), and hedge fund replication strategies (HFRS). We show that IHFIs are true alternative beta products with high correlations and beta to noninvestable hedge fund indices. Our results further suggest that, in a best case scenario, IHFIs outperform FHFs and HFRS on a risk-adjusted basis. However, in the worst case scenario, IHFIs underperform both investments. If we take the average of all IHFIs, we find they perform equally well as FHFs. Hence, IHFIs constitute a solid alternative to FHF investments, while costing substantially less, and offering generally more transparency and liquidity. We propose that fee-sensitive investors especially should consider taking a core-satellite approach to their hedge fund portfolio, with the core represented by cheap passive hedge fund beta through IHFIs, and the satellite represented by more expensive and actively managed alphagenerating FHFs.
Schlagwörter:Hedge funds
investable hedge fund indices
alternative beta
funds of hedge funds
hedge fund replication
Omega ratio
JEL:G12
Erscheint in der Sammlung:Frankfurt School - Working Paper Series

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