Hedge fund market data: strategy beta

[mcpass]

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.

 

[LPoulin133]

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

 

[maratikus]

Good book on alternative beta strategies:

http://www.buchhandel.de/detailansicht.aspx?isbn=978-0-470-75446-7

 

[joemontana]

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.