Please use this identifier to cite or link to this item: https://doi.org/10.21256/zhaw-94
Title: Which hedge fund indices suit best for investors?
Authors : Meier, Peter
Wirth, Stefan
Publisher / Ed. Institution : ZHAW Zürcher Hochschule für Angewandte Wissenschaften
Publisher / Ed. Institution: Winterthur
Issue Date: 2010
Language : Englisch / English
Subjects : Hedge Fund; Indices; Hedge Fund; Indices
Subject (DDC) : 332: Finanzwirtschaft
Abstract: In contrast to most traditional assets, alternatives, especially hedge funds, do not have a distinct universe. This complicates proper performance measurement since most benchmarks suffer from statistical biases, deceiving investors about the "true” return an average hedge fund would have achieved. We investigate these influences, present an index for Swiss registered hedge funds which aims to avoid common biases and conclude that the systematic underperformance of funds of hedge funds compared to single hedge funds is mostly a result of bias mitigation. This indicates that the returns of fund of hedge funds indices are the most accurate for benchmarking both single- and funds of hedge funds.
Departement: School of Management and Law
Organisational Unit: Zentrum für Alternative Investments & Risk Management (ZAI)
Publication type: Working Paper – Gutachten – Studie / Working Paper – Expertise – Study
DOI : 10.21256/zhaw-94
URI: https://digitalcollection.zhaw.ch/handle/11475/94
Appears in Collections:Banking, Finance, Insurance

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