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Hedge fund index-engineering methodologies: a comparison and demonstration

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  • Dimitrios Stafylas
  • Keith Anderson
  • Moshfique Uddin

Abstract

We examine hedge fund (HF) index construction methodologies, by describing and analysing case studies from two well-known database vendors and evaluating them using numerical examples on the same dataset. Despite the fact that they follow a similar due diligence process, there are great differences in the index engineering practices arising from different quantitative techniques, even for indices in the same HF category. However, those quantitative techniques provide similar results. The differences are rather due to the use of different HF universes and different inclusion criteria. This article is the first to use actual numerical case studies to illustrate and compare how HF index engineering works. Having read it, the reader will have a good understanding of how HF indices are formed.

Suggested Citation

  • Dimitrios Stafylas & Keith Anderson & Moshfique Uddin, 2018. "Hedge fund index-engineering methodologies: a comparison and demonstration," Applied Economics, Taylor & Francis Journals, vol. 50(6), pages 596-612, February.
    • Handle: RePEc:taf:applec:v:50:y:2018:i:6:p:596-612
    DOI: 10.1080/00036846.2017.1332746
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    Cited by:

    1. Noori, Mohammad & Hitaj, Asmerilda, 2023. "Dissecting hedge funds' strategies," International Review of Financial Analysis, Elsevier, vol. 85(C).
    2. David Xiao, 2024. "Hedge Fund Index Rules and Construction," Papers 2403.15925, arXiv.org.

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