Hedge Fund Index Rules and Construction
Fuente:
arXiv
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| Autor principal: | |
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| Formato: | Preprint |
| Publicado: |
2024
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| Materias: | |
| Acceso en línea: | |
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| _version_ | 1866913279656329216 |
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| author | Xiao, David |
| author_facet | Xiao, David |
| contents | A Hedge Fund Index is very useful for tracking the performance of hedge fund investments, especially the timing of fund redemption. This paper presents a methodology for constructing a hedge fund index that is more like a quantitative fund of fund, rather than a weighted sum of a number of early replicable market indices, which are re-balanced periodically. The constructed index allows hedge funds to directly hedge their exposures to index-linked products. That is important given that hedge funds are an asset class with reduced transparency, and the returns are traditionally difficult to replicate using liquid instruments. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2403_15925 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Hedge Fund Index Rules and Construction Xiao, David General Economics Economics A Hedge Fund Index is very useful for tracking the performance of hedge fund investments, especially the timing of fund redemption. This paper presents a methodology for constructing a hedge fund index that is more like a quantitative fund of fund, rather than a weighted sum of a number of early replicable market indices, which are re-balanced periodically. The constructed index allows hedge funds to directly hedge their exposures to index-linked products. That is important given that hedge funds are an asset class with reduced transparency, and the returns are traditionally difficult to replicate using liquid instruments. |
| title | Hedge Fund Index Rules and Construction |
| topic | General Economics Economics |
| url | https://arxiv.org/abs/2403.15925 |