Research and publications
Indexing Hedge Fund Indexes
As a response to the needs of investors, the Edhec Risk and Asset Management Research Centre proposes an original solution by constructing an “index of indexes”, the performance of which is posted on a dedicated web site (www.edhec-risk.com). The aim of the methodology used to construct this “index of indexes” is to construct a benchmark with degrees of representativity and stability that are significantly higher than those of the indexes available on the market. This methodology was first introduced in Amenc, Martellini (2002a).
Author(s):
Noël Amenc, Lionel Martellini, Mathieu Vaissié
Summary:
As a response to the needs of investors, the Edhec Risk and Asset Management Research Centre proposes an original solution by constructing an “index of indexes”, the performance of which is posted on a dedicated web site (www.edhec-risk.com). The aim of the methodology used to construct this “index of indexes” is to construct a benchmark with degrees of representativity and stability that are significantly higher than those of the indexes available on the market. This methodology was first introduced in Amenc, Martellini (2002a).
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Register/Log in| Type : | Working paper |
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| Date : | 12/01/2003 |
| Keywords : |
Indexes |
About EDHEC
Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 15 business schools. Fully international and directly connected to the business world, EDHEC commands a strong reputation for research excellence and the ability to train entrepreneurs and managers capable of breaking new ground. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching is inspired by its research work and a focus on “learning by doing”, all with the aim of equipping people with the skills to succeed in business.
