Stafylas, Dimitrios, Anderson, Keith Philip orcid.org/0000-0002-6557-422X and Uddin, Muhammad Moshfique (2018) Hedge Fund Index Engineering Methodologies:A Comparison and Demonstration. Applied Economics. pp. 596-612. ISSN 1466-4283
Abstract
We examine hedge fund (HF) index construction methodologies, by describing and analyzing case studies from two well-known database vendors and evaluating them using numerical examples on the same dataset. Despite the fact that they follow a similar due diligence process, there are great differences in the index engineering practices arising from different quantitative techniques, even for indices in the same HF category. However, those quantitative techniques provide similar results. The differences are rather due to the use of different HF universes and different inclusion criteria. This paper is the first to use actual numerical case studies to illustrate and compare how HF index engineering works. Having read it the reader will have a good understanding of how HF indices are formed.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2017 Informa UK Limited, trading as Taylor & Francis Group. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy. Further copying may not be permitted; contact the publisher for details |
Keywords: | Hedge funds,classification,construction methodology,indexes,indices |
Dates: |
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Institution: | The University of York |
Academic Units: | The University of York > Faculty of Social Sciences (York) > The York Management School |
Depositing User: | Pure (York) |
Date Deposited: | 01 Jun 2017 08:45 |
Last Modified: | 16 Oct 2024 13:47 |
Published Version: | https://doi.org/10.1080/00036846.2017.1332746 |
Status: | Published |
Refereed: | Yes |
Identification Number: | 10.1080/00036846.2017.1332746 |
Related URLs: | |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:117168 |
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Filename: HF_index_engineering_Applied_Economics_2.docx
Description: HF_index_engineering Applied Economics 2