Warianty tytułu
Databases and Hedge Funds Indices
Języki publikacji
Abstrakty
Celem artykułu jest przedstawienie problematyki baz danych i indeksów funduszy hedgingowych. (fragment tekstu)
There are a number of obstacles to the industrialization of the alternative investment indu try. Its adoption by institutional investors will only come about if a serious effort is mai in terms of transparency and rationalization of the investment management process an above all, performance evaluation. Due to the scarcity of information, the logie of represe tativeness through market capitalization is difficult to apply to the alternative universe. i a result, finding a benchmark that is representative of a particular management universe not a trivial problem. Today, thanks to the emergence of a number of data vendors and t growing demand from institutional investors, there is a proliferation of hedge fund indics Unfortunately, these indices differ significantly in terms of performance. The differe indices available on the market arę constructed from different data, according to diver selection criteria and methods of construction, and they evolve at differing paces Because this heterogeneity, investors cannot rely on competing hedge fund indices to obtain a "tr and fair" view of hedge fund performance. (original abstract)
Słowa kluczowe
Rocznik
Numer
Strony
284-294
Opis fizyczny
Twórcy
autor
- Uniwersytet Mikołaja Kopernika w Toruniu
Bibliografia
- Ackerman C., McEnally R., Revenscraft D. (1999), The performance of hedge funds: risk, return and incentives, The Journal of Finance, 54:3, 833-874.
- Aczel A.D. (2000), Statystyka w zarządzaniu, Wydawnictwo Naukowe PWN, Warszawa.
- Amin G., Kat H. (2003), Stocks, bonds and hedge funds:nNot afree lunch!, Journal of Portfolio Management, Vol. 29, No. 4.
- Brooks C., Kat H. (2002), The statistical properties of hedge fund index returns and their implications for investors, Journal of Alternative Investments, Vol. 5, No. 2.
- Brown S., Goetzmann J., Ibbotson R. (1999), Offshore hedge funds: survival and performance, 1989-1995, The Journal of Business,, 72:1, 91-117.
- Fung W., Hsieh D.A. (2002), Hedge-FundBenchmarks: Information Content and Biases, Financial Analysis Journal.
- Fung, W., Hsieh D.A. (2001), Benchmark of hedge fund performance, Information content and measurement biases, Financial Analysis Journal.
- Lhabitant f.s. (2007), Handbock of hedge funds, John w: by &Sons., England.
- Liang B. (2001), Hedge fund performance: 1990-1999, Financial Analysts Journal, 57, 11-18.
- Liang B. (2000), Hedgef unds: The living and the dead, Journal of Financial and Quantititive Analysis, 35, 309-326.
- Niedziółka P. (2009), Fundusze hedgingowe a stabilność finansowa, Difin, Warszawa.
- Park J., Brown S., Goetzmann W. (1999), Performance benchmarks and survivorship bit for hedge funds and commodity trading advisors, Hedge Fund News, August.
- Posthuma N.I van der Sluis, P.J. (2004), A critical examination of historical hedge funds returns, Chapter 13 in Intelligent Hedge Fund Investing: Successfully Avoiding Pitfal through Better Risk Evaluation. Edited by Barry Schachter. Risk Books.
- Wiśniewska E. (2007), Giełdowe instrumenty pochodne, Wydawnictwa Fachowe CDW Warszawa.
- Wiśniewski J.W. (2009), Mikroekonometria, Wydawnictwo Naukowe UMK, Toruń.
- www.eacm.com [dostęp 10.06.2009 r.].
- www.hedgefundintelligence.com [dostęp 19,05.2009 r.].
- www.hedgefundintelligence.com [dostęp 19.05.2009 r.].
- www.hedgefundresearch.com [dostęp 18.05.2009 r.].
- www.hedgefundresearch.com [dostęp 18.05.2009 r.].
- www.hedgeindex.com [dostęp 17.05.2009 r.]
- www.hennesseegroup.com [dostęp 19.05.2009 r.].
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171200385