ETF

 Markov Processes International, Inc. (“MPI”), a leading independent FinTech provider of technology and services for analyzes of alternative investments, today released five-year performance data for the MPI BEST20 Tracker Index, an investible benchmark showing that it is possible to capture diversification and risk-mitigation benefits of some of the most sophisticated systematic trading strategies.

In 2018, MPI partnered with BarclayHedge to develop the MPI Barclay Elite Systematic Traders Index (BLOOMBERG: MPBEST20) to provide a more representative benchmark for an institutional portfolio of hedge funds focused on managed futures. The index comprises the 20 largest systematic traders reporting to the BarclayHedge database. At the same time, MPI also launched the MPI BEST20 Tracker Index (BLOOMBERG: MBEST20T) that aims to closely track the performance of the hedge fund benchmark using liquid, transparent exchange-traded funds.

“Five years ago, we came to realize that the proliferation and diversity of systematic trading strategies coupled with a wide range of their outcomes virtually begged for an investible benchmark to measure their performance,” said Michael Markov, founder and chief executive officer of MPI. “The result is industry-first benchmark that captures common trade signals of the group of 20 elite systematic traders delivering consistent performance with low volatility.”

Five-year performance data shows the index is truly representative of elite managed futures strategies, and the tracker provided attractive returns during major equity market drawdowns while delivering positive returns at other times.

“BarclayHedge’s indices, including the MPI Barclay Elite Systematic Traders Index, have long represented a veritable gold standard for measuring the performance of systematic traders,” reflected Ben Crawford, Vice President of Research at BarclayHedge. “Now, through our partnership with MPI, we are proud to have contributed another cutting-edge capability to the managed futures industry’s toolkit: The industry’s first investible managed futures benchmark, the MBEST20 Tracker Index. Today, whether you’re a CTA investor, a hedge fund manager, or the sponsor of an alternative ETF or UCITS product, the MBEST20 Tracker Index can provide you with an indispensable yardstick for what’s truly achievable with an allocation to systematic managed futures funds.”

It is well documented that incorporating managed futures in a portfolio can enhance returns, mitigate risks, and improve diversification. However, finding the right benchmark has been elusive for many investors. MPI’s index construction approach represents a logical evolution in the history of hedge fund performance tracking. First generation hedge fund indices sought to measure the performance of the entire industry, which introduced biases that skewed results. MPI’s Hedge Fund Index model seeks to correct for this shortcoming by targeting elite subsets of hedge funds to create a more stable, accurate gauge for measuring performance.

For additional information on the MPI BEST20 Tracker Index, please contact MPI at +1 (908) 608-1558 or info@markovprocesses.com.

About MPI

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-more-crowded markets. Follow us on Twitter @MarkovMPI and connect with us on LinkedIn.

About BarclayHedge

BarclayHedge, a division of Backstop Solutions Group, maintains data on more than 7,000 hedge funds, funds of funds and CTAs to assist institutional investors, brokerage firms and private banks worldwide save time and resources by providing data for research and due diligence, performance benchmarking, marketing and strategy replication. Connect with us on LinkedIn.

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.

Eight years ago, we partnered with Eurekahedge to develop a unique hedge fund benchmark. We review live performance of the index and its liquid tracker – MPI Eurekahedge 50 Tracker Index.

“Target volatility versions of the MPI Eurekahedge 50 Tracker Index are now available with 6% or 8% volatility, while the MPI Best 20 Tracker Index, which tracks the MPI Barclay Elite Systematic Traders Index, comes in 8% and 10% volatility versions. “You can scale up the volatility and scale up the risk level of the proxy index to get an ‘apples-to-apples’ comparison,” said Rohtas Handa, head of institutional solutions at MPI.” Read the full article here.

New Benchmarks Deliver Greater Precision for Manager Selection and Daily Monitoring of Portfolio Performance and Risk

New Offering Leverages MPI’s Expertise, Patented Model to Create Better Benchmarks for Elite Hedge Fund Performance

“Selection/non-reporting bias, survivorship bias, and backfill or instant history bias can all serve to artificially inflate index returns, which are often higher for non-investable than for investable hedge fund indices,” explains Hamlin Lovell, in his feature article on the launch of MPI’s Hedge Fund Indices business. “According to MPI, these biases can be overcome by building a representative index comprised of a selective group of the largest funds.” Read the article here.

MPI partners with Eurekahedge to create and maintain the Eurekahedge 50 Index, a new benchmark index tracking the top 50 hedge funds. The Eurekahedge 50 Index was created to meet the demands of institutional hedge fund investors seeking a more selective benchmark reflective of diversified institutional quality hedge fund portfolios. The Eurekahedge 50 Index tracks the returns of the top hedge funds based on longevity, assets under management and quality of risk-adjusted returns, taking into account stability and consistency. See the press release here.