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guy_incognito


Total Posts: 14
Joined: Apr 2016
 
Posted: 2018-09-24 18:21
I have been looking at the HFRX indices to measure average hedge fund performance. Is this a reliable measure? Are there better public sources of data?
thanks

ronin


Total Posts: 383
Joined: May 2006
 
Posted: 2018-09-25 10:36
Well, it's a reliable measure of the sort of thing that it measures. It's a bit like standardised exams - they are very good at measuring your ability to score well on standardised exams.

HFRX covers a lot of hedge funds with all sorts of AUMs and strategies. How would you average a 16 bln multi strategy fund, a 1 bln long short equities fund and a 200 mln illiquid credit fund? However you weigh them, something will be wrong and you will be measuring the wrong thing.

Did you know that an average human has less than two arms and less than two legs? Because some have only one or none, and nobody has more than two.

"Average" hedge fund looks pretty similar.

"There is a SIX am?" -- Arthur

guy_incognito


Total Posts: 14
Joined: Apr 2016
 
Posted: 2018-09-25 15:10
Thanks for the reply. How does one compare performance in the industry then? I don't want to compare fund X to only those anecdotally having a great/bad year (how I am doing it now).

Context of my question is measuring my strategy's performance against my cohort (long/short quant equity)

thanks

ronin


Total Posts: 383
Joined: May 2006
 
Posted: 2018-09-25 15:23
Would that be as a benchmark or as a comparison tool?

They are perfectly reasonable benchmarks, as long as you pick the right index. HFRX Equity Hedge, HFRX Equity Market Neutral or HFRX Quant Directional would be the obvious candidates for quant equity long short.

If you want to see where you actually fit within living, breathing hedge funds, you are better off with aggregators. Things like Barclayhedge, Eurekahedge or Symmetric.io for hedge funds, IASG or CTAPerformance for CTAs.

"There is a SIX am?" -- Arthur
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