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

October 24, 2018

Summit, NJ/London/Tokyo (Oct. 24, 2018) ― 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.”