Hedge Fund Indices: Seeing the industry through a prism
Sep 4th, 2008 | Filed under: Performance, Analytics & Metrics, Today's Post
With the proliferation of hedge fund indices these days, it can be tough to figure out which provider to trust sometimes. Around a dozen managers of hedge fund databases pump out returns across various hedge fund strategies each month. But invariably, the numbers seem to differ. Curious about these differences, we did a little back of the envelope study today that we share with you below.
We looked at July’s hedge fund index returns from Barclay Hedge Fund Indices from: CASAM, CogentHedge, Credit Suisse/Tremont, Dow Jones, Edhec, Eurekahedge, FTSE, Greenwich, HedgeFund.Net, HedgeWeb.Net, Hennessee Group, HFR, MSCI, and RBC. Specifically, we wondered if the returns reported for each strategy had different levels of dispersion. You’d think that the larger the average sample size in each database, the smaller the dispersion of returns. Further, you might guess that funds using certain strategies might tend to stick closer to the average (see Wednesday’s post).
Below is a chart showing the 2 standard deviation range of the reported July returns from the various databases (with the sample sizes in brackets).
To continue reading this article please login (at the right) or click here to learn more about accessing our archives.
Related Posts
- Despite occasional divergence, hedge fund indices found to be relatively “homogeneous” after all
- Back-of-the-envelope analysis shows hedge fund indexes not lining up with each other this fall
- Study aims to shed light on “darkness” in hedge fund databases
- Pendulum swinging back to investable hedge fund indices for passive HF exposure
- August Redux? Some hedge fund indices lower and some higher than infamous month from hell
