MPI launches hedge fund index business

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Markov Processes International (MPI) is launching the MPI Hedge Fund Indices, a new business that it says will deliver better benchmarks for measuring hedge fund performance.

Each index will constitute a benchmark index providing measure of performance for a targeted set of hedge funds, and a tracker index that aims to achieve the performance of the benchmark using exchange traded funds.

The investable tracker indices are manufactured using MPI’s patented Dynamic Style Analysis model.

MPI says the new indices represent an evolution of existing hedge fund performance tracking, and mark a second generation of hedge fund indices; the first generation measured performance of the entire industry, introducing biases. The new generation of indices will correct for biases by targeting “elite subsets of hedge funds to create a more stable, accurate gauge for measuring performance”.

Rohtas Handa, EVP and head of Institutional Solutions at MPI, said: “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. We are now combining that experience with our patented dynamic factor model, DSA, to build better benchmarks for hedge fund performance.”

The first of the new indices is the MPI Barclay Elite Systematic Traders index. It seeks to capture returns  from the 20 biggest systemic managed futures hedge funds reporting into BarclayHedge, the partner for the index. The index is paired with the MPI Best 20 Tracker index. BarclayHedge collects data on some 6,800 hedge funds, funds of funds and CTAs globally.

The new indices business launch come after the manufacture of MPI’s first hedge fund index, the Eurekahedge 50 and the MPI Eurekahedge 50 Tracker index – launched in 2014 in partnership with Eurekahedge to provide a measure of the world’s 50 most successful hedge funds.