Designing hedge fund indices that are both representative and investable

Academic Paper

The fact that hedge funds have started to gain widespread acceptance while remaining a somewhat mysterious asset class enhances the need for better measurement and benchmarking of their performance. Finding an index that is representative of a particular hedge fund strategy is not, however, a trivial problem.

This is due to the scarcity of information. The different indices available are constructed from different data, according to diverse selection criteria and methods of construction, leading

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