MPI Hedge Fund Indices
Delivering next-generation hedge fund indices that offer better benchmarks for assessing elite hedge fund performance paired with investable tracker indices comprised of transparent, liquid ETFs.
Our next-generation hedge fund benchmark and tracker index pairs are designed to more closely mirror how investors typically allocate to alternative investment strategies. Current MPI indices can offer:
- 1. Access to Premier Hedge Fund Performance
- 2. A Hedge Against Downside Equity Risk
1. The Eurekahedge 50 Index & The MPI Eurekahedge 50 Tracker Index
The Eurekahedge 50 Index (BLOOMBERG: EHFI400) is a non-investable index constructed by MPI to capture the returns of the world’s 50 most successful hedge funds. The MPI Eurekahedge 50 Tracker Index (BLOOMBERG: EHFI401) is designed to track returns of the Eurekahedge 50 Index. The MPI Eurekahedge 50 Tracker Index can be licensed to build investment products.
- Capture the largest 50 diversified institutional quality hedge
- Provide a measure of premiere hedge fund managers.
2. The MPI Barclay Elite Systematic Traders Index & The MPI BEST 20 Tracker Index
The MPI Barclay Elite Systematic Traders Index (MBEST20) is a non-investable index constructed by MPI to capture the returns of the 20 largest systematic managed futures hedge funds. The MPI BEST 20 Tracker Index (MBEST20T) is designed to track returns of the MPI Barclay Elite Systematic Traders Index. The MPI BEST 20 Tracker Index can be licensed to build investment products.
- Capture returns of the 20 largest systematic traders reporting into BarclayHedge.
- Provide a measure of strategies that perform well in down markets.
Asset owners & consultants gain access to more representative benchmarks of elite hedge fund performance to gauge the performance of their alternative investment allocations.
Asset managers can leverage MPI’s investable tracker indices for each hedge fund benchmark to develop liquid alternative dynamic beta products that closely follow the performance of premier hedge funds.
Wealth managers gain access to a suit of next-generation liquid alternative products designed to more precisely capture the dynamic mix of market factors that drive hedge fund returns over time.
Small and mid-sized hedge fund managers can use MPI hedge fund indices to demonstrate performance compared with the industry’s elite hedge funds as part of their capital raising efforts.
High quality hedge fund performance data removes data biases that have historically plagued hedge fund indices.
Benchmark indices are constructed to more closely represent how investors typically allocate across hedge fund strategies.
Patented analytical model identifies optimal set of market factors driving benchmark index returns.
Tracker indices are constructed using transparent liquid ETFs and mutual funds, which can be licensed to build investable prodcuts.
A 25-year legacy of analyzing complex portfolios and more than a decade of perfecting the application of our patented Dynamic Style Analysis (DSA) model to analyze hedge fund returns.
Forward looking DSA model used to construct all MPI indices, providing exceptional ability to anticipate trends and shifts in strategy.
DSA trusted by top institutions and investment management organizations as part of their quantitative hedge fund due diligence process to identify excessive leverage, style drift and changes in risk exposures.
Our Tracker Index Methodology
- Factor Selection: ensures investable factors are closely aligned with selected funds.
- Cross Validation: tests factor selection against a broader group of similar strategies.
- Apply DSA model: captures the changing exposures of the hedge funds in the benchmark.
- Rigorous testing: improves predictive out-of-sample performance.
- Construct: select tracker index constituents.