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https://doi.org/10.21256/zhaw-94| Publication type: | Working paper – expertise – study |
| Title: | Which hedge fund indices suit best for investors? |
| Authors: | Meier, Peter Wirth, Stefan |
| DOI: | 10.21256/zhaw-94 |
| Extent: | 18 |
| Issue Date: | 2010 |
| Publisher / Ed. Institution: | ZHAW Zürcher Hochschule für Angewandte Wissenschaften |
| Publisher / Ed. Institution: | Winterthur |
| Language: | English |
| Subjects: | Hedge Fund; Indices; Hedge Fund; Indices |
| Subject (DDC): | 332: Financial economics |
| 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. 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. |
| URI: | https://digitalcollection.zhaw.ch/handle/11475/94 |
| Departement: | School of Management and Law |
| Organisational Unit: | Institute for Risk & Insurance (IRI) |
| Appears in collections: | Banking, Finance, Insurance |
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Meier, P., & Wirth, S. (2010). Which hedge fund indices suit best for investors? ZHAW Zürcher Hochschule für Angewandte Wissenschaften. https://doi.org/10.21256/zhaw-94
Meier, P. and Wirth, S. (2010) Which hedge fund indices suit best for investors? Winterthur: ZHAW Zürcher Hochschule für Angewandte Wissenschaften. Available at: https://doi.org/10.21256/zhaw-94.
P. Meier and S. Wirth, “Which hedge fund indices suit best for investors?,” ZHAW Zürcher Hochschule für Angewandte Wissenschaften, Winterthur, 2010. doi: 10.21256/zhaw-94.
MEIER, Peter und Stefan WIRTH, 2010. Which hedge fund indices suit best for investors? Winterthur: ZHAW Zürcher Hochschule für Angewandte Wissenschaften
Meier, Peter, and Stefan Wirth. 2010. “Which Hedge Fund Indices Suit Best for Investors?” Winterthur: ZHAW Zürcher Hochschule für Angewandte Wissenschaften. https://doi.org/10.21256/zhaw-94.
Meier, Peter, and Stefan Wirth. Which Hedge Fund Indices Suit Best for Investors? ZHAW Zürcher Hochschule für Angewandte Wissenschaften, 2010, https://doi.org/10.21256/zhaw-94.
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