Hedge Fund Index Rules and Construction

David Xiao

Papers from arXiv.org

Abstract: A Hedge Fund Index is very useful for tracking the performance of hedge fund investments, especially the timing of fund redemption. This paper presents a methodology for constructing a hedge fund index that is more like a quantitative fund of fund, rather than a weighted sum of a number of early replicable market indices, which are re-balanced periodically. The constructed index allows hedge funds to directly hedge their exposures to index-linked products. That is important given that hedge funds are an asset class with reduced transparency, and the returns are traditionally difficult to replicate using liquid instruments.

Date: 2024-03
New Economics Papers: this item is included in nep-fmk, nep-mac and nep-rmg
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