Hedge Fund Modelling and Analysis

CHAPTER 3 Hedge Fund Data Sources

Obtaining accurate, reliable and timely data on hedge funds is of extreme importance to a manager or analyst wishing to measure, monitor and assess the returns and performance of such investment opportunities. The need for consistent and robust hedge fund indices, as well as trustworthy benchmarks for the industry, is also of enormous value and a necessity when trying to obtain a clear representation of a hedge funds track record.

Chapter 3 reviews a variety of prominent commercial hedge fund databases and the subsequent indices and benchmarks they produce. In addition, the many pitfalls and problems that need to be fully understood when interpreting and using such summary statistics are discussed. In particular, the inherent heterogeneity and lack of representativeness within the hedge fund universe is highlighted as a major concern in the industry. Moreover, some of the most innovative products developed in order to overcome some of these shortfalls are reviewed.

3.1 Hedge Fund Databases

Many hedge fund managers provide, on a voluntary basis, monthly hedge fund performance data to a variety of commercial databases. These hedge fund databases collect, assimilate and produce informative reports, indices and benchmarks based on this data for potential investors, consultants, analysts and academics involved in investment and research on hedge funds. Such data allows the construction and publication of numerous non-investable and investable ...