Hedge Fund Indices: Investable, Non-Investable and Strategy Benchmarks

32 Pages Posted: 4 Feb 2005

See all articles by Walter Géhin

Walter Géhin

EDHEC Business School - EDHEC Risk and Asset Management Research Centre

Mathieu Vaissié

EDHEC Graduate School of Management - Risk and Asset Management Research Center

Date Written: October 2004

Abstract

In the hedge fund universe, where it is frequently said that performance is extracted from managers, reflecting active asset management, the implementation of hedge fund indices may be surprising, because the notion of index is commonly associated with the notion of passive management. The aim of this study is to revisit the issue of hedge fund strategy benchmarks, and answer the following question: can investors in the alternative arena measure the relative return of hedge funds? In other words, can investable and/or non-investable hedge fund indices provide investors with useful tools for performance measurement?

Keywords: Hedge fund, hedge funds, indices, non-investable indices, investable indices, benchmarks, strategy benchmarks

JEL Classification: G23, G14, G11, G29

Suggested Citation

Géhin, Walter and Vaissié, Mathieu, Hedge Fund Indices: Investable, Non-Investable and Strategy Benchmarks (October 2004). Available at SSRN: https://ssrn.com/abstract=659981 or http://dx.doi.org/10.2139/ssrn.659981

Walter Géhin (Contact Author)

EDHEC Business School - EDHEC Risk and Asset Management Research Centre ( email )

58 rue du Port
Lille, 59046
France

Mathieu Vaissié

EDHEC Graduate School of Management - Risk and Asset Management Research Center ( email )

1090 route des crêtes
06560 Valbonne
France

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