MPI Adds New Target Volatility Benchmarks for Liquid Alts and Hedge Funds
New Benchmarks Deliver Greater Precision for Manager Selection and Daily Monitoring of Portfolio Performance and Risk
SUMMIT, N.J. and LONDON and TOKYO, Oct. 24, 2018 /PRNewswire/ -- Markov Processes International (MPI), a leading provider of investment research, technology, analytics and indices for the global investment management industry, today announced the addition of target volatility indices to its growing roster of hedge fund indices.
MPI Hedge Fund Indices were designed to deliver next-generation performance benchmarks by pairing monthly hedge fund indices with daily tracker indices comprised of liquid securities that enable daily monitoring of hedge fund performance and risk. MPI will now provide target volatility indices for each tracker, enabling benchmarks to be tailored to a specific investor, allocation or product's desired risk level.
The MPI Eurekahedge 50 Tracker Index (BLOOMBERG: EHFI401), which is a daily tracker for the Eurekahedge 50 Index (BLOOMBERG: EHFI400), is now available in 6 percent and 8 percent target volatility versions.
The MPI BEST 20 Tracker Index (BLOOMBERG: MBEST20T), which is a daily tracker for the MPI Barclay Elite Systematic Traders Index (BLOOMBERG: MPBEST20), is now available in 8 percent and 10 percent target volatility versions.
"Our hedge fund indices were developed to address a general dissatisfaction in the market with using traditional hedge fund benchmarks for manager or product selection," said Rohtas Handa, EVP and Head of Institutional Solutions at MPI. "By removing many of the biases that plagued traditional indices, we've delivered a better benchmark for evaluating complex alternative products. Our target volatility tracker indices will now enable investors to further tailor their analysis to make an apples-to-apples comparison during manager selection."
MPI tracker indices are constructed using MPI's patented Dynamic Style Analysis™ model, which is used to more precisely capture the dynamic mix of market factors that drive hedge fund returns over time. Tracker indices are based on MPI's award-winning academic research paper, titled: "Monitoring Daily Hedge Fund Performance When Only Monthly Data is Available."
About Eurekahedge 50 (BLOOMBERG: EHFI400)
Developed in partnership with Eurekahedge, this index is comprised of 50 of the largest hedge funds reporting to the Eurekahedge database. It is designed to provide a more representative benchmark for an institutional portfolio of hedge funds. The Eurekahedge 50 Index is paired with its daily tracker, the MPI Eurekahedge 50 Tracker Index (BLOOMBERG: EHFI401).
About MPI Barclay Elite Systematic Traders Index (BLOOMBERG: MPBEST20)
Developed in partnership with BarclayHedge, this index is comprised of the 20 largest systematic traders reporting to the BarclayHedge database. It is designed to provide a more representative benchmark for an institutional portfolio of hedge funds focused on managed futures. The MPI Barclay Elite Systematic Traders Index is paired with its daily tracker, the MPI BEST 20 Tracker Index (BLOOMBERG: MBEST20T).
About MPI
Markov Processes International is a leading independent provider of quantitative investment research, technology, analytics and indices for the global investment management industry. Follow us on Twitter @MarkovMPI, connect with us on LinkedIn.
SOURCE Markov Processes International
Share this article