Tue, Jun 19, 2018
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

MPI and Barclayhedge join forces to launch hedge fund index business

Monday, March 12, 2018
Opalesque Industry Update - Markov Processes International (MPI), a leading provider of investment research, technology and analytics for the global investment management industry, today announced the launch of its next-generation hedge fund index business, MPI Hedge Fund Indices. The new business line aims to deliver better benchmarks for measuring elite hedge fund performance and to enable exposure to those benchmarks through transparent, highly liquid, investable tracker indices.

Each MPI hedge fund index is comprised of two components, one benchmark index that provides a better measure of performance for a targeted set of premier hedge funds, and one tracker index that aims to deliver the performance of the benchmark using liquid, transparent exchange-traded funds. All MPI investable tracker indices are constructed using MPI's patented Dynamic Style Analysis™ model (DSA), which is used to more precisely capture the dynamic mix of market factors that drive hedge fund returns over time.

MPI's index construction approach represents a logical evolution in the history of hedge fund performance tracking. First generation hedge fund indices sought to measure the performance of the entire industry, which introduced biases that skewed results. MPI's Hedge Fund Index 2.0 model seeks to correct for this shortcoming by targeting elite subsets of hedge funds to create a more stable, accurate gauge for measuring performance.

"The Hedge Fund Index 2.0 model is the product of MPI's more than 25 years of experience analyzing complex and opaque investment strategies," said Rohtas Handa, EVP and Head of Institutional Solutions at MPI. "We are now combining that experience with our patented dynamic factor model, DSA, to build better benchmarks for hedge fund performance."

The first index to launch under the new MPI business line is MPI Barclay Elite Systematic Traders Index (Bloomberg: MPBEST20), which seeks to capture the returns of the 20 largest systematic managed futures hedge funds reporting into BarclayHedge, MPI's partner for the index. The MPBEST20 is paired with the MPI BEST 20 Tracker Index (Bloomberg: MBEST20T). The MPBEST20 was developed to meet the demands of investors seeking a more selective benchmark representative of hedge fund strategies that have performed well in volatile and/or down equity markets.

"We are delighted to be working with MPI to launch the MPBEST20 Index," said Sol Waksman, President at BarclayHedge. "We've been approached in the past by firms looking to deliver on a similar promise. In those cases, and despite valiant efforts, index performance quality fell short of our standards. MPI, however, has delivered what we think will be a gamechanger."

MPI's Hedge Fund Indices business launch follows the construction of the firm's first hedge fund index, the Eurekahedge 50 (Bloomberg: EHFI400) and the MPI Eurekahedge 50 Tracker Index (Bloomberg: EHFI401). This index, which was launched in 2014 in partnership with Eurekahedge, was developed to provide a measure of the world's 50 most successful hedge funds, and a more representative benchmark for institutional portfolios of hedge funds that seek consistently attractive risk-adjusted returns.

MPI's hedge fund tracker indices data can be licensed to build investment products.

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   
Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. North America - George Soros: 'Everything that could go wrong has gone wrong'[more]

    From Marketwatch.com: George Soros, tell us how you really feel. 'Everything that could go wrong has gone wrong. [Trump] is willing to destroy the world.' The 87-year-old billionaire clearly isn't shy about expressing his generally liberal views and distaste for Trump's "America First" platform,

  2. Paper: The performance of stocks actively pitched by hedge funds[more]

    Using a novel dataset drawn from investment conferences from 2008 to 2013, I show that hedge funds take advantage of the publicity of these conferences to strategically release their book information to drive market demand. Specifically, hedge funds sell pitched stocks after the conferences to ta

  3. North America - US fundraising for special purpose acquisition vehicles hits record this year[more]

    From AFR.com: Special purpose acquisition vehicles (spacs) are hitting the US market at the fastest rate on record, attracting the likes of Goldman Sachs and hedge fund investor Daniel Loeb for the two largest such deals in 2018. Spacs have raised $US4.5bn so far in 2018, the largest amount fo

  4. Investing - Man Group and AQR try to take aim at private equity industry, Hedge funds poised to be winners in AT&T-Time Warner deal[more]

    Man Group and AQR try to take aim at private equity industry From FT.com: The popularity of private equity investments has prompted asset managers such as Man Group and AQR to devise strategies that aim to replicate PE returns but at a much lower cost to investors. Both companies a

  5. News Briefs: David Stemerman's hedge fund holdings shrank before his run for governor, nvestment manager TSW triggers succession plan, Alan Howard joins Peter Thiel investing in Cologne-based fintech startup[more]

    David Stemerman's hedge fund holdings shrank before his run for governor But the U.S. holdings of Stemerman's Greenwich hedge fund, Conatus Capital, shrank from $2.6 billion at the apex to just over $1 billion before he announced his move into politics. (Hartford Courant) Inv