Heterogenität von Hedgefondsindizes

Most research on the performance and risk of hedge funds are based on calculations that justuse the data from one index provider. Also most product providers and even more and moreinvestors are using hedge fund indices for benchmarking purposes. As some academic articlespointed out, the world of hedge fund indices is very heterogeneous. So the empirical resultson the optimal hedge fund allocation an investor would obtain by using the indices of one dataprovider could severely change if he would use another subset of indices. This paper analysesthe heterogeneity of hedge fund indices that results from the fact that each index providerlooks at a different subset of underlying hedge funds. Therefore we calculate different riskand return measures for the data series of six different hedge fund index providers and highlightthe observed differences. In a next step, we rank the results we obtained, to find outwhich composite and strategy indices from which data provider are best used for benchmarkingpurposes from the point of view of the investor.