Research and publications

Hedge Fund Indices: Investable, Non-Investable and Strategy Benchmarks

In the mutual fund industry, which is based on a passive investment approach, and where respecting the tracking error is an inevitable notion, the use of indices is necessary in order to play on exposure to the market. In the hedge fund universe, where it is frequently said that performance is extracted from managers, reflecting active asset management, the implementation of hedge fund indices may be surprising, because the notion of index is commonly associated with the notion of passive management. However, picking the best performers in the hedge fund universe appears to be a very challenging task.

Author(s):

Mathieu Vaissié, Walter Géhin

Summary:

In the mutual fund industry, which is based on a passive investment approach, and where respecting the tracking error is an inevitable notion, the use of indices is necessary in order to play on exposure to the market. In the hedge fund universe, where it is frequently said that performance is extracted from managers, reflecting active asset management, the implementation of hedge fund indices may be surprising, because the notion of index is commonly associated with the notion of passive management. However, picking the best performers in the hedge fund universe appears to be a very challenging task.

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Type :	Working paper
Date :	10/01/2004
Keywords :	Hedge Fund Indices

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