STAMFORD, Conn., Sept. 13, 2017 /PRNewswire/ -- SummerHaven Index Management, LLC announces the launch of the SummerHaven Private Equity Strategy Index ("SHPEI") and the SummerHaven Private Equity Natural Resources Strategy Index ("SHPEN"); both are innovative investable indexes which seek to replicate the long-term return characteristics of diversified private equity allocations. The indexes will be calculated and disseminated by ICE Data Services, part of Intercontinental Exchange (NYSE: ICE).
The SHPEI and SHPEN indexes seek to produce returns similar to private equity investments by investing in public companies with the characteristics of companies that have historically been acquired by private equity fund managers. The indexes capture two important aspects of private equity investment; first, including companies that private equity firms are perceived to be likely to buy; and second, closely matching the historical sector allocations of private equity firms.
The indexes will be published daily and on a real-time basis on NYSE Global Index Feed (GIF) under the tickers SHPEI and SHPEN and will be available through most market data vendors. In addition, ICE Data Services will calculate historical index data on both a price and total return basis for both indexes back to December 2000. SummerHaven Index Management will publish the data on its website with relevant constituents and weightings. The data will also be available on ICE Data Services website and through other data vendors.
The First Liquid Investable Private Equity Strategy Index
The SHPEI and SHPEN were designed as investable indexes for investors seeking private equity returns.
"These indexes will provide investors an opportunity to access the returns of an asset class that has traditionally only been available through private markets, with the benefit of liquidity and transparency," said Ashraf Rizvi, Partner, SummerHaven Index Management. He added, "We are very excited to collaborate with and build upon the research of Professor Erik Stafford of Harvard Business School to bring these indexes to the market to be utilized by all investors."
The SHPEI and SHPEN design incorporates research ideas from the academic paper, "Replicating Private Equity with Value Investing, Homemade Leverage and Hold-to-Maturity Accounting" by Erik Stafford, Professor of Business Administration at Harvard Business School.
Professor Erik Stafford commented, "My goal in the research paper was to evaluate the active management elements of the private equity investment process after controlling for the key elements of the process that can be executed passively. After realizing that the passive elements of the PE investment process appear to contribute the attractive return-for-risk properties of the strategy, it was natural to assemble these components into a private equity replicating strategy. I am very pleased that my research can be incorporated into indexes that can be utilized by all financial market participants."
About SummerHaven Index Management, LLC Headquartered in Stamford, CT, SummerHaven Index Management is focused on creating innovative commodity and equity indices based on rigorous academic research. The firm is led by a seasoned management team with over 110 years of collective financial markets experience with commodity futures, equity and fixed income markets.