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dc.contributor.authorHeidorn, Thomasen_US
dc.contributor.authorKaiser, Dieter G.en_US
dc.contributor.authorVoinea, Andreen_US
dc.date.accessioned2010-07-02en_US
dc.date.accessioned2010-07-20T14:02:04Z-
dc.date.available2010-07-20T14:02:04Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/36695-
dc.description.abstractThis 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.en_US
dc.language.isoengen_US
dc.publisherFrankfurt School of Finance & Management Frankfurt, M.en_US
dc.relation.ispartofseriesWorking paper series // Frankfurt School of Finance & Management 141en_US
dc.subject.jelG12en_US
dc.subject.ddc330en_US
dc.subject.keywordHedge fundsen_US
dc.subject.keywordinvestable hedge fund indicesen_US
dc.subject.keywordalternative betaen_US
dc.subject.keywordfunds of hedge fundsen_US
dc.subject.keywordhedge fund replicationen_US
dc.subject.keywordOmega ratioen_US
dc.titleThe value-added of investable hedge fund indicesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn630500703en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:fsfmwp:141-
Appears in Collections:Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management

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