Stafylas, D, Anderson, K and Uddin, M orcid.org/0000-0003-1035-0365 (2018) Hedge fund index-engineering methodologies: a comparison and demonstration. Applied Economics, 50 (6). pp. 596-612. ISSN 0003-6846
Abstract
We examine hedge fund (HF) index construction methodologies, by describing and analysing 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 article 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 Accepted Manuscript of an article published by Taylor & Francis in Applied Economics on 26 May 2017, available online: http://www.tandfonline.com/10.1080/00036846.2017.1332746. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | Hedge funds, indices, indexes, classification, construction methodology |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Business (Leeds) > Accounting & Finance Division (LUBS) (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 21 Jun 2017 10:57 |
Last Modified: | 26 Nov 2018 01:38 |
Status: | Published |
Publisher: | Routledge |
Identification Number: | 10.1080/00036846.2017.1332746 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:117949 |