Do Stock Market Indices Move the Ten Largest Hedge Funds? A Cointegration Approach

Abstract

This article investigates the long-term relationships between the ten largest hedge funds in the Zurich database and four stock market indices over a ten-year period, using time series analysis and cointegration. We find that most of the time series examined contain a single unit root. Our results provide evidence that, in general, hedge funds do not appear to track any of the specific benchmarks used in this study. Future research will emphasize more style pure hedge funds with associated indices.