Hedge fund index-engineering methodologies:a comparison and demonstration


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.

Publication DOI: https://doi.org/10.1080/00036846.2017.1332746
Divisions: College of Business and Social Sciences > Aston Business School
Additional Information: 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
Uncontrolled Keywords: classification,construction methodology,Hedge funds,indexes,indices,Economics and Econometrics
Publication ISSN: 1466-4283
Last Modified: 20 May 2024 07:17
Date Deposited: 06 Jun 2017 08:15
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Related URLs: http://www.scop ... tnerID=8YFLogxK (Scopus URL)
PURE Output Type: Article
Published Date: 2018-02
Published Online Date: 2017-05-26
Accepted Date: 2017-05-16
Authors: Stafylas, Dimitrios (ORCID Profile 0000-0002-0326-1877)
Anderson, Keith
Uddin, Moshfique



Version: Accepted Version

License: ["licenses_description_unspecified" not defined]

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