I’m interested to see if anyone knows of the existence of market data for hedge fund strategies. I don’t mean the index figures but the without-skill execution of a strategy. Say a merger arbitrage strategy: what’s the result of a strategy that does not analyse the companies but executes the strategy for all mergers. I want to judge the alpha of managers by making a correction for their ‘strategy beta’ as I want to see how much their skill added to the return. All insight would be welcome.
I think there are some indices which track this. It will probably depend on the strategy employed as well, and how difficult it is to approximate or replicate. I think I’ve seen merger-arb, distressed debt, and covered call writing…I’m sure there’s probably a few others. Does this look like something you had in mind…is this helpful? SP Merger Arb index: http://www2.standardandpoors.com/portal/site/sp/en/us/page.topic/indices_lomerger/2,3,6,0,0,0,0,0,0,0,0,0,0,0,0,0.html
Good book on alternative beta strategies: http://www.buchhandel.de/detailansicht.aspx?isbn=978-0-470-75446-7
Why do you want to know the Systematic risk of an event driven strategy? I would guess that it’s beta won’t be statistically significant. I question how appropriate the output would be.