Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/27839
Authors: 
Heidorn, Thomas
Hoppe, Christian
Kaiser, Dieter G.
Year of Publication: 
2006
Series/Report no.: 
Working paper series // HfB - Business School of Finance & Management 71
Abstract: 
Most 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.
Subjects: 
Heterogenität
Volatilität
Sharpe Ratio
Sterling Ratio
Calmar Ratio
Omega
Autokorrelation
Sortino Ratio
Schiefe
Wölbung
Kurtosis
Persistenz
JEL: 
G11
G15
G24
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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