Are Investable Hedge Fund Indices Holding Their Promise?

Gadzinski, Gregory; Boigner, Philip

doi:10.2139/ssrn.1989013

Abstract

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Are Investable Hedge Fund Indices Holding Their Promise?

Gregory Gadzinski

International University of Monaco (IUM)

affiliation not provided to SSRN

June 20, 2011

Abstract:
The goal of the paper is to assess if investable hedge fund indices exhibit similar characteristics as their non-investable benchmark indices. For all of our risk-adjusted performances metrics, we find that the investable indices perform worse than their corresponding benchmarks whatever the sample period studied. Having said that, for some aggressive risk profiles, the choice of these investment vehicles may prove adequate, but clearly, the choice should not be driven by either absolute performance or liquidity reasons

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Date posted: January 23, 2012

Suggested Citation

Gadzinski, Gregory and Boigner, Philip, Are Investable Hedge Fund Indices Holding Their Promise? (June 20, 2011). Available at SSRN: http://ssrn.com/abstract=1989013 or http://dx.doi.org/10.2139/ssrn.1989013

Contact Information

Gregory Gadzinski (Contact Author) International University of Monaco (IUM) ( email ) 2 Av Prince Hereditaire Albert Stade Louis II/B Monaco, Monaco MC-98000 United States
Philip Boigner affiliation not provided to SSRN ( email )

Abstract

Are Investable Hedge Fund Indices Holding Their Promise?

Gregory Gadzinski

Philip Boigner

Date posted: January 23, 2012

Suggested Citation

Contact Information

Gregory Gadzinski (Contact Author)

Philip Boigner