We examine hedge fund index construction methodologies, by describing and analysing the general principles and construction methods for a successful hedge fund index. We present case studies from two well-known database vendors and evaluate them using numerical examples on the same dataset....

We investigate US hedge funds' performance across different economic and market conditions for the longest period to date, 1990-2014. The paper examines the impact of multiple business cycles and rising/falling markets on exposures and excess returns delivered to investors. We use a twin...

We survey articles on hedge funds' performance persistence and fundamental factors from the mid-1990s to the present. For performance persistence, we present some pioneering studies that contradict previous findings that hedge funds' performance is a short term matter. We discuss recent...

We survey articles covering how hedge funds returns are explained, using linear and non-linear multifactor models that examine hedge funds as option portfolios or indices. We provide an integrated view of the implicit factor and the statistical factor models that are largely able to explain...