Dietiker, Oliver. (2009) Analyzing consistency of hedge fund indices across providers. WWZ Discussion Papers, 2009 (03).
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Official URL: https://edoc.unibas.ch/61817/
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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
| Faculties and Departments: | 06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften 12 Special Collections > WWZ Publications > WWZ Discussion Papers and Working Papers |
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| UniBasel Contributors: | Dietiker, Oliver |
| Item Type: | Working Paper |
| Publisher: | WWZ, University of Basel |
| Note: | Publication type according to Uni Basel Research Database: Discussion paper / Internet publication |
| Identification Number: |
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| Last Modified: | 14 Mar 2018 09:27 |
| Deposited On: | 13 Mar 2018 13:17 |
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