Analyzing consistency of hedge fund indices across providers

Dietiker, Oliver. (2009) Analyzing consistency of hedge fund indices across providers. WWZ Discussion Papers, 2009 (03).

Full text not available from this repository.

Official URL: https://edoc.unibas.ch/61817/

Downloads: Statistics Overview


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
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:
  • handle: RePEc:bsl:wpaper:2009/03
Last Modified:14 Mar 2018 09:27
Deposited On:13 Mar 2018 13:17

Repository Staff Only: item control page