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Alternative Market Briefing

Connecticut firm to launch rules-driven hedge fund replication strategy

Friday, July 31, 2009

From the Opalesque Team: Greenwich, Connecticut based TrueBeta LLC announced the launch of a "fully transparent, 100% rules-driven" hedge fund replication strategy. The True Beta hedge fund replication service would "allow investors access to hedge fund-like returns with cost effective fees and without the headline risk of fund-of-funds or direct investing", according to the firm's website. Returns would be over 90% correlated with the HFRI, a leading hedge fund index.

TrueBeta aims to represent "overall hedge fund returns" following a bottom-up building block approach, based on five underlying sub-strategies (as defined in the HFR hedge fund classification). The hedge fund replication model would maximize correlations with the relevant broad (non-investable) HFRI indices while ensuring daily liquidity and a high degree of scalability.

The Truebeta replicators would meet these objectives by investing in highly liquid futures instruments or ETFs, creating portfolios that closely match the risk profiles of the four underlying HFRI strategy indices and the HFRI fund weighted composite. The model follows up to ten risk factors across asset classes, including currencies and commodities.

TrueBeta LLC develops and markets quantitative financial strategies for institutional clients. The firm was founded by Rabbe Ekholm in 2007. He was until recently Chief Commercial Officer and a Member of the Management Board of Saxo Bank, prior to now focusing full time on devel......................

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