Sunday, January 30, 2011

Hedge Fund Index

Problems

  • hedge fund listing issues
  • exclusion of certain hedge funds
  • data verification issues
  • turnover
  • survivorship bias
  • backfill bias
  • estimation bias
    • due to the closing of funds to new investors
  • autocorrelation
  • short performance history of hedge funds
  • selection bias
    • Strict rules for inclusion and removal of hedge funds into and out of the hedge fund index could avoid this.

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