In 2002 AIMA (www.aima.org) initiated an attempt to standardise hedge fund strategy classifications. The initiative did not receive research funding, an interim expert report was presented in September 2003.
Monthly Economic Monitoring of Ukraine No 231, April 2024
AIMA 2003 Hedge Fund Strategy Classification Initiative
1. Alternative Investment Management Association
The Forum for Hedge Funds, Managed Futures and Managed Currencies
The Alternative Investment Management Association Limited
Lower Ground Floor, 10 Stanhope Gate, London W1K 1AL
Tel: +44 (0)20 7659 9920 Fax: +44 (0)20 7659 9921 E-mail: info@aima.org Internet: http://www.aima.org
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Dear AIMA Member, London, 3rd April 2003
Hedge Fund Strategy Definition Standardisation
Over the last few months several academics and practitioners in Europe and USA have been discussing the possibility
of initiating a ‘non-commercial’, coordinated academic-led research effort to standardise definitions of hedge fund
strategies.
Rather confusingly for investors and researchers, there are far too many hedge fund strategy definitions and indices
but a lack of definitions which are uniform and appropriate. The proliferation of commercial hedge fund indices and risk
measurement tools calls for a collaborative response by the global hedge fund research community.
The key step would be the development of a generic hedge fund strategy classification methodology that would strike
the right balance between academic rigour and investment practice.
Discussion and position papers are invited from the hedge fund research and practitioner community to review
possible approaches to the problems of defining, verifying and validating the presence (or absence) of a particular
hedge fund investment strategy implementation using different types of data series (return, risk exposure, position and
trade level).
The undersigned researchers well understand the complexity and the long-term nature of this project and consider an
“expression of interest” to be the very first step.
Our joint proposal is that an ad-hoc standardisation research committee will be established under the under the
auspices of AIMA to advise and guide the collaborative research effort leading to the development of a set of
"guidelines" for strategy definitions. Naturally, due to the dynamic nature of hedge fund strategies this is best viewed
as on-going effort by a “permanent” committee.
The work will be carried out in a series of meetings in major financial centers (similar to the format taken by the IAFE
Investor Risk Committee). The first meeting is planned to be held in Europe in 2Q03 and participation in person or by
conference call will be encouraged.
Alexander Ineichen, UBS Warburg
Drago Indjic, Fauchier Partners
Francois-Serge Lhabitant, UBP
Lionel Martellini, University of Southern California
Narayan Naik, London Business School
If you would like to be added to the mailing list for this project, please respond ASAP to:
AIMA, Florence Lombard: florence@aima.org, Tel +44 (0)20 7659 9920, Fax +44 (0)20 7659 9921