Hedge fund index-engineering methodologies: a comparison and demonstration

Dimitrios Stafylas, Keith Anderson*, Moshfique Uddin

*Corresponding author for this work

Research output: Contribution to journalArticle

Abstract

We examine hedge fund (HF) index construction methodologies, by describing and analyzing case studies from two well-known database vendors and evaluating them using numerical examples on the same dataset. Despite the fact that they follow a similar due diligence process, there are great differences in the index engineering practices arising from different quantitative techniques, even for indices in the same HF category. However, those quantitative techniques provide similar results. The differences are rather due to the use of different HF universes and different inclusion criteria. This paper is the first to use actual numerical case studies to illustrate and compare how HF index engineering works. Having read it the reader will have a good understanding of how HF indices are formed.
Original languageEnglish
JournalApplied Economics
Volumein press
Early online date26 May 2017
DOIs
Publication statusE-pub ahead of print - 26 May 2017

Bibliographical note

This is an Accepted Manuscript of an article published by Taylor & Francis in Applied Economics on 26 May 2017, available online: http://www.tandfonline.com/10.1080/00036846.2017.1332746

Keywords

  • classification
  • construction methodology
  • Hedge funds
  • indexes
  • indices

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