%0 Journal Article %A Jimmy Liew %T Hedge Fund Index Investing Examined %D 2003 %R 10.3905/jpm.2003.319878 %J The Journal of Portfolio Management %P 113-123 %V 29 %N 2 %X Hedge fund indexing, a seemingly attractive way to get general exposure to the hedge fund industry, may instead subject investors to many unskilled managers. After adjustment for market exposure and non-synchronous pricing/liquidity issues, the evidence is that the majority of hedge fund managers examined do not have statistically significant skill. Nor do indexes provide adequate diversification benefits in times of market dislocation. Simulations indicate that an actively managed fund of funds with good discernment can beat a passive hedge fund investment. Investors should thus be wary of taking a passive approach to investing in hedge funds. Passive index funds are not a good alternative to an active search for skilled hedge fund managers. %U https://jpm.pm-research.com/content/iijpormgmt/29/2/113.full.pdf