Indexing Hedge Fund Indexes

As a response to the needs of investors, the Edhec Risk and Asset Management Research Centre proposes an original solution by constructing an “index of indexes”, the performance of which is posted on a dedicated web site (www.edhec-risk.com). The aim of the methodology used to construct this “index of indexes” is to construct a benchmark with degrees of representativity and stability that are significantly higher than those of the indexes available on the market. This methodology was first introduced in Amenc, Martellini (2002a).