MPI Tracker Indices Capture Performance of Top Hedge Funds Using Transparent, Liquid Investments
MPI today released eight-year performance data for its MPI Eurekahedge 50 Tracker Index that indicate its basket of liquid, retail exchange-traded funds can deliver the performance of a diversified portfolio of institutional-quality hedge funds.
SUMMIT, N.J., November 28, 2022 /PRNewswire/ — Markov Processes International, Inc. (“MPI”), a leading independent FinTech provider of software and services for analyzing investment performance and risk, today released eight-year performance data for its MPI Eurekahedge 50 Tracker Index that indicate its basket of liquid, retail exchange-traded funds can deliver the performance of a diversified portfolio of institutional-quality hedge funds.
“Eight years ago, we identified the main problem with hedge fund indices as inclusion of too many constituent funds, which dilutes and negates valuable information contained in hedge fund returns,” said Michael Markov, co-founder and Chief Executive Officer of MPI. “We created an industry-first elite hedge fund index to better capture common ideas of the world’s top investment talent. Using our patented technology, we also developed its investable tracker index using liquid ETFs. Our recent research shows that our hedge fund index can serve as a reliable benchmark for the most sophisticated hedge fund investors, and our tracker proves that those elite hedge funds’ performance can be captured with a portfolio of liquid ETFs .”
Annualized Return to date, %
(As of October 31st)
|YTD||1 Year||3 Years||5 Years||7 Years||Since Inception (8 Years)|
|MPI EH50 Tracker (EHFI401)||-1.8||-1.4||5.5||5.4||5.3||5.1|
|Eurekahedge 50 (EHFI400)||-2.5||-1.9||4.5||3.6||4.0||3.6|
|HFRX Global Hedge Fund Index||-4.5||-5.3||2.6||1.6||1.9||1.4|
*YTD numbers are not annualized
In 2014, MPI partnered with Eurekahedge to create an index of elite hedge funds that represented the diversified portfolio typical of large institutional investors. MPI created screening criteria to deliver a portfolio of the 50 largest hedge funds, allocated among five major strategies and reconstituted on an annual basis. The result was the Eurekahedge 50 Index (BLOOMBERG: EHFI400), a first-of-its-kind concentrated, institutional-quality benchmark launched in November 2014. The index was designed to represent the typical diversified portfolio an experienced investment team might select. But it also sought to overcome problems that plague other hedge fund benchmarks and indices, such as strategy bias and misclassification of strategies. Along with the Eurekahedge 50, MPI also launched an investible tracker, the MPI Eurekahedge 50 Tracker Index (BLOOMBERG: EHFI401). That tracker comprises anywhere between 25 to 30 liquid ETFs and is priced daily and updated monthly.
Since inception November 1, 2014, the MPI EH50 Tracker has performed in line with the Eurekahedge 50 Index, with a low tracking error of 2.5%, similar volatility of 5% and consistent outperformance by 1.5% per year. Year-to-date through October 2022, the MPI Eurekahedge 50 Tracker investable index is down -1.8%, compared with a -2.5% return for the hedge fund index.
Performance Statistics as October 31st, 2022
|YTD||8-years since inception|
|Return, %||Annual Return, %||Std Deviation, %||Sharpe Ratio*|
|MPI EH50 Tracker (EHFI401)||-1.8||5.1||5.0||1.00|
|Eurekahedge 50 (EHFI400)||-2.5||3.6||5.2||0.70|
|HFRX Global Hedge Fund Index||-4.5||1.4||4.5||0.32|
|Morningstar Multi-Strategy Cat||-2.8||1.8||6.4||0.32|
*Sharpe Ratio adjusted for negative skewness and kurtosis
“We are excited about these results for two reasons,” Mr. Markov said. “For one thing, we believe we have achieved a solid benchmark off which hedge fund and investors’ in hedge funds performance should be judged. Second, there are profound implications for investors, since we have shown that transparent, liquid ETFs can indeed be a proxy for opaque hedge funds.”
Markov Processes International Inc. (MPI) is a leading provider of solutions for investment research, analysis and reporting to the global wealth and investment management industry. MPI works with more than 200 client organizations, including pensions and endowments, sovereign wealth funds, global wealth management firms, institutional consultants, regulators, investment advisors and asset managers. Rooted in the principles of transparency, objectivity and efficiency, MPI takes an innovative approach to problem solving in the areas of fund analysis, risk management, asset allocation and reporting to ensure that its clients have the tools to succeed in ever-crowded markets. Follow us on Twitter @MarkovMPI and connect with us on LinkedIn.