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Style consistency of hedge fund indices across providers

Zimmermann, Heinz and Henn Oberbeck, Jacqueline and Kugler, Peter. (2010) Style consistency of hedge fund indices across providers. Applied Financial Economics, 20. pp. 355-370.

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Official URL: http://edoc.unibas.ch/dok/A5841383

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Abstract

This article investigates the consistency of style returns of hedge funds across eight providers of style indexes. We select 10 style categories which are defined in a relatively consistent way across the various providers, so that the natural null hypothesis is that the returns should behave very similarly. We compare the results of a principal component analysis with tests of the hypothesis that unconditional mean returns and first order autocorrelation coefficients of returns are equal across the different providers for the same style. Our findings reveal a substantial degree of heterogeneity of index returns within the same style and cast serious doubts on their usefulness as benchmarks in the asset management industry.
Faculties and Departments:06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften > Professuren Wirtschaftswissenschaften > Finanzmarkttheorie (Zimmermann)
06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften > Professuren Wirtschaftswissenschaften > Geld- und Währungsgeschichte (Kugler)
UniBasel Contributors:Kugler, Peter and Zimmermann, Heinz
Item Type:Article, refereed
Article Subtype:Research Article
Bibsysno:Link to catalogue
Publisher:Routledge
ISSN:1466-4305
Note:Publication type according to Uni Basel Research Database: Journal article
Language:English
Identification Number:
Last Modified:21 Nov 2017 07:58
Deposited On:14 Sep 2012 07:09

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