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.

Current MPI indices track elite groups of hedge funds that deliver:

  • 1. Premier Performance
  • 2. Equity Market Diversification

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 data can be licensed to build investment products.

Objectives

  • Capture the largest 50 diversified institutional quality hedge
    funds.
  • Provide a measure of premier hedge fund managers.

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Accompanying disclosures are an integral part of this chart.

2. The MPI Barclay Elite Systematic Traders Index & The MPI BEST 20 Tracker Index

The MPI Barclay Elite Systematic Traders Index (BLOOMBERG: MPBEST20) is a non-investable index constructed by MPI to capture the returns of the 20 largest systematic traders. The MPI BEST 20 Tracker Index (BLOOMBERG: MBEST20T) is designed to track returns of the MPI Barclay Elite Systematic Traders Index. The MPI BEST 20 Tracker Index data can be licensed to build investment products.

Objective:

  • Capture returns of the 20 largest systematic traders reporting into BarclayHedge.
  • Provide a measure of strategies that deliver equity market diversification.

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Accompanying disclosures are an integral part of this chart.

Benefits

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.

Features

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.

Why MPI

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

  1. Factor Selection: ensures investable factors are closely aligned with selected funds.
  2. Cross Validation: tests factor selection against a broader group of similar strategies.
  3. Apply DSA model: captures the changing exposures of the hedge funds in the benchmark.
  4. Rigorous testing: improves predictive out-of-sample performance.
  5. Construct: select tracker index constituents.
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