http://allaboutalpha.com/blog/2008/12/01/back-of-the-envelope-analysis-shows-hedge-fund-indexes-not-lining-up-with-each-other-this-fall/ Hedge funds, portable alpha, 130/30 and alpha-centric investing Fri, 19 Mar 2010 07:52:26 +0000 http://wordpress.org/?v=abc hourly 1 http://allaboutalpha.com/blog/2008/12/01/back-of-the-envelope-analysis-shows-hedge-fund-indexes-not-lining-up-with-each-other-this-fall/comment-page-1/#comment-144673 Rwilson Wed, 03 Dec 2008 07:16:33 +0000 http://allaboutalpha.com/blog/?p=3749#comment-144673 Nice analysis.. Nice analysis..

]]> http://allaboutalpha.com/blog/2008/12/01/back-of-the-envelope-analysis-shows-hedge-fund-indexes-not-lining-up-with-each-other-this-fall/comment-page-1/#comment-144623 Alpha Male Tue, 02 Dec 2008 21:28:26 +0000 http://allaboutalpha.com/blog/?p=3749#comment-144623 Yes. That’s right. Way back in 2003 Edhec developed a set of indexes that were essentially an “average of averages”. At the time, they wrote: “Given that it is impossible to come up with an objective judgment on what is the best existing index, a natural idea consists of using some combination of competing indexes...". So we'd imagine that Edhec probably experiences the same challenges dealing with dynamically-changing ranges around each sub-index mean. Yes. That’s right. Way back in 2003 Edhec developed a set of indexes that were essentially an “average of averages”. At the time, they wrote: “Given that it is impossible to come up with an objective judgment on what is the best existing index, a natural idea consists of using some combination of competing indexes…”. So we’d imagine that Edhec probably experiences the same challenges dealing with dynamically-changing ranges around each sub-index mean.

]]> http://allaboutalpha.com/blog/2008/12/01/back-of-the-envelope-analysis-shows-hedge-fund-indexes-not-lining-up-with-each-other-this-fall/comment-page-1/#comment-144572 Johnni Nielsen Tue, 02 Dec 2008 09:55:00 +0000 http://allaboutalpha.com/blog/?p=3749#comment-144572 I thought the EDHEC Alternative Indexes was setup to deal exactly with this issue.. I thought the EDHEC Alternative Indexes was setup to deal exactly with this issue..

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