Hedge Fund Index Trading Strategies

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Date

18 mai 2024

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HAL SHS (Sciences de l’Homme et de la Société)

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Archives ouvertes

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Centre pour la communication scientifique directe

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http://creativecommons.org/licenses/by/ , info:eu-repo/semantics/OpenAccess

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hedge fund index re-leveraging deleveraging index performance liquidity exposure JEL Classification: E44

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David Lee, « Hedge Fund Index Trading Strategies », HAL SHS (Sciences de l’Homme et de la Société), ID : 10670/1.0ed246...

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A Hedge Fund Index is an indicator for tracking the performance of hedge fund investments. The index consists of notional investments in private unregistered Hedge Funds and cash. Hedge fund index investment also involves re-leveraging and deleveraging. This paper presents a leveraging algorithm for managing the re-leveraging and deleveraging of a hedge fund index. We also propose a method for measuring the performance of hedge fund index. The model is important given that hedge funds are less transparent and difficult to replicate.

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