TY - JOUR T1 - What the “Indexes” Don't Tell You about Hedge Funds JF - Special Issues SP - 44 LP - 59 VL - 2002 IS - 1 AU - Leola B. Ross AU - George Oberhofer Y1 - 2002/09/21 UR - https://pm-research.com/content/2002/1/44.abstract N2 - A striking limitation of much hedge fund analysis to date is its focus on so-called indexes, which in reality reflect the average returns of peer managers categorized by investment style. The authors focus instead on individual manager return histories and investigate the relationship between individual manager performance and investible equity or fixed-income market indexes. The principal finding is that there is substantial variation in market-relative risk across managers within hedge fund style universes. Many of the style-level effects reported by other researchers are not observed in a majority of individual managers. Further, the dramatic asymmetry noted elsewhere is largely a function of volatility induced by the 1998 Russian debt crisis, rather than some inherent asymmetry in hedge fund return patterns. The upshot is that designing a hedge fund strategy is a bottom-up exercise. Generalizations at the style level are of little use to a hedge fund strategy. ER -