Analyzing consistency of hedge fund indices across providers

Oliver Dietiker ()
Additional contact information
Oliver Dietiker: University of Basel

Working papers from Faculty of Business and Economics - University of Basel

Abstract: Based on the style analysis pioneered in [Sharpe, W.F. (1992). Asset Allocation: Management Style and Performance Measurement, Journal of Portfolio Management, 7-19.] I define a procedure to examine the consistency of hedge fund indexes across providers. The results of my investigation suggest that the competing indexes of the different providers are homogeneous. However, I also find two cases for which one provider differently allocates the funds between styles compared to its peers. URL

Date: 2009-08-19
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bsl:wpaper:2009/03

Access Statistics for this paper

More papers in Working papers from Faculty of Business and Economics - University of Basel Contact information at EDIRC.
Bibliographic data for series maintained by WWZ ().