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Analyzing consistency of hedge fund indices across providers

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  • Dietiker, Oliver

    (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

Suggested Citation

  • Dietiker, Oliver, 2009. "Analyzing consistency of hedge fund indices across providers," Working papers 2009/03, Faculty of Business and Economics - University of Basel.
    • Handle: RePEc:bsl:wpaper:2009/03
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