Hedge Funds Factor Based (HFFB) Indices

Hedge Funds employ a wide variety of strategies in a broad range of markets. Although there is a plethora of active hedge fund indices (CISDM, EACM, HFR etc.), passive indices either security-based or factor based for benchmarking hedge funds are not so common. Passive indices such as the S&P 500 or the Lehman Bond index can be used to benchmark long-only mutual funds, but cannot be used to benchmark hedge funds since the latter frequently short in various markets and sometimes use large amounts of leverage. The Hedge Funds Factor Based (HFFB) indices are a set of 13 passive factor based indices. Weights are determined by regressing the returns on the 13 respective HFR indices against certain factors. The multiple regressions are run on a rolling basis with five years of data.

Currently, the data can be found in the pdf-Files of the newsletter.