MPI Hedge Fund Indices

MPI has developed an innovative approach in hedge fund indices, in partnership with BarclayHedge, that we are calling the Hedge Fund Index 2.0, and we think it’s a game-changer. The goal is simple: build a better benchmark to assess hedge fund performance, and give investors a better way to gain exposure to that benchmark through transparent, highly liquid, investable tracker indices.

What is Hedge Fund Index 2.0?

Hedge Fund Index 2.0 is a logical evolution in the history hedge fund performance tracking. First generation hedge fund indices sought to measure the performance of the entire industry, which delivered only average results. Hedge Fund Index 2.0 corrects for the shortcomings of its predecessors by ensuring three important criteria are met.

MPI Indices:

  • target elite subsets of hedge funds to provide a better measure of performance
  • provide a stable, accurate gauge of those elite performers
  • enable you to get exposure to those benchmarks through low-cost, highly liquid index trackers

How do we build a better benchmark?

We start by using better data, which removes the performance data biases that have traditionally plagued hedge fund indices. Then we construct our indices in a way that more closely represents how an investor would allocate across the hedge fund universe. Rather than indiscriminate inclusion of all hedge funds in a particular peer group, for example, we use highly selective criteria in choosing and weighting index constituents.

How do we provide better exposure to that benchmark?

We leverage our patented quantitative analytical model to develop and rigorously test a tracker index for each hedge fund index we build, which offers an investable options for  investors to gain exposure to elite hedge fund performance using low-cost, highly liquid investment products.

MPI Barclay Elite Systematic Traders Index (BEST20) is our first index to be launched in partnership with BarclayHedge. MPI created its first hedge fund index, the Eurekahedge 50, in collaboration with Eurekahedge. That index was launched in November 2014.

Eurekahedge 50

Objectives

  • Captures top 50 diversified institutional quality hedge funds
  • Provide a measure of premiere hedge fund managers

Methodology

  • Bottom-up approach: focus on AUM, longevity and availability of performance data
  • Equally weight across five main strategies: equity hedge, event driven, macro, relative value and multi-strategy

Sample Constituents

  • Renaissance Institutional Equities Fund
  • Capula Global Relative Value Fund
  • Bridgewater Pure Alpha

MPI Barclay Elite Systematic Traders Index (BEST20)

Objectives

  • Capture returns of the 20 largest systematic traders
  • Provide a measure of strategies that perform well in down markets

Methodology

  • Select 20 largest systematic managed futures hedge funds
  • Constituents have at least 48 months prior history
  • Equally weighted

Sample Constituents

  • Bridgewater Pure Alpha
  • Campbell Managed Futures
  • First Quadrant Tactical Currency
  • Man AHL
  • AQR Managed Futures