Eurekahedge and MPI announce new benchmark index tracking the top 50 hedge funds
SINGAPORE (DECEMBER 03, 2014) - Eurekahedge, a market leading alternative fund data and research house, announced today the launch of a new index, the Eurekahedge 50, created in partnership with Markov Processes International, Inc. (MPI), a premier provider of quantitative tools and technologies for analysing investment performance and risk. The Eurekahedge 50 consists of the world’s most successful hedge funds that have generated consistently attractive risk-adjusted returns over a number of years and market cycles.
The 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 tracks the returns of the top hedge funds based on longevity, assets under management (AUM) and quality of risk-adjusted returns, taking into account stability and consistency. Boasting attractive performance coupled with a low downside deviation, the Eurekahedge 50 contains household names such as Paulson, BlueCrest, Cerberus, Fortress, Renaissance Technologies and other distinguished advisors from the hedge fund industry. With membership to the index limited to one fund per management company, the Eurekahedge 50 captures the best of the large hedge fund franchises.
“As investing in hedge funds continues to mature, institutional investors have been looking for a benchmark that is more reflective of their investment objectives as opposed to broad all-inclusive hedge fund indices. With a well-defined index construction criteria and attractive performance characteristics of the Eurekahedge 50, we feel we have created such an index and are excited to offer our clients access to this industry-leading hedge fund portfolio benchmark.” said Alexander Mearns, CEO, Eurekahedge.
The Eurekahedge 50 is equally weighted among its constituent funds and has been reconstructed by Eurekahedge since December 31, 2006 using a rules-based methodology, and avoiding survival and backfill biases. The current combined AUM of the 50 constituent funds exceeds US$110 billion.
“We are excited to join forces with Eurekahedge in designing a robust process that better captures the way institutional investors select and monitor hedge funds. MPI’s deep expertise in quantitative due diligence and fund analysis provides great insights into hedge fund portfolio construction. In partnership with Eurekahedge, we helped build the first benchmark that aims to provide a reasonable proxy for a concentrated portfolio of institutional quality hedge funds.” said Michael Markov, Co-Founder and Chairman, MPI.
Based on this new benchmark, Quantvest Capital LLC, a US-based investment adviser, will create a daily tracker index which will be published on its website and has plans to launch an investible product that tracks the performance of the Eurekahedge 50 with a portfolio of liquid, exchange-traded securities.
About the Index
The Eurekahedge 50 index is designed to provide representative performance of a diversified, institutional quality investment in hedge funds. The index consists of 50 large hedge funds that pass a series of quantitative due diligence screens and exhibit superior risk-adjusted performance. The index is equally weighted. It is rebalanced at the beginning of each year and reviewed on a monthly basis. Base weighted at 100 starting from 31 December 2006, it does not contain duplicate funds and is denominated in USD. The index’s returns and values for the most recent 3 months remain provisional until all funds have reported their returns. The Eurekahedge 50 is a product of collaboration between Eurekahedge and Markov Processes International, a leader in quantitative analysis of hedge funds.
The Eurekahedge 50 can be found at: http://www.eurekahedge.com/Indices/IndexView/Eurekahedge/639/The_Eurekahedge_50 and on Bloomberg with the symbol EHFI400.
Launched by financial professionals in 2001, Eurekahedge’s proven track record spans over a decade - setting us apart as the world’s largest independent data provider and alternative research firm.
Specialising in hedge fund databases covering Asia, Europe, North America and Latin America, Eurekahedge’s alternative asset funds databases are the most complete and precise with indices updated by an average of 96% by month-end. The tracking of over 220 data points – more than any competitor – makes analysis of managers’ performances easier on our clients which include, but are not limited to, family offices, endowments & trusts, pension funds, funds of hedge funds, sovereign wealth funds, private banks, advisors and service providers to the industry.
Eurekahedge is a subsidiary of Mizuho Bank, the second largest financial services group in Japan. Headquartered in Singapore with offices in New York and Cebu, Eurekahedge has a worldwide strength of over 50 employees. The global expertise of our research team constantly adapts to industry changes and needs, allowing Eurekahedge to develop and offer a wide array of products and services coveted by accredited investor groups, financial institutions and media sources. In addition to market-leading hedge fund databases and analysis, Eurekahedge’s other business functions include hedge fund publications, due diligence services, investor services, and an analytical platform service.
Markov Processes International, Inc. (MPI) is a premier financial technology firm delivering innovative solutions to over 300 of the world’s largest financial institutions: pensions and endowments, sovereign wealth funds, global wealth management firms, institutional consultants, investment advisors and asset managers. Since 1992, MPI has harnessed the latest in quantitative thinking to create practical applications for investment management professionals. MPI developed a suite of patented models and proprietary techniques which address investors’ need for greater precision and transparency, especially in complex and often opaque products, such as hedge funds.
MPI was co-founded by Michael Markov, a recognised authority in quantitative analysis and an expert sought after by some of the largest institutions on forensic analysis of hedge funds. Mr. Markov is a mathematician by training who has published on signal processing, investment style and performance analysis, quantitative modeling of investments, and advanced hedge fund replication.
Quantvest Capital LLC is a U.S.-based investment advisory firm specialising in replication of customised hedge fund portfolios for institutional investors.
Eurekahedge Pte Ltd:
Corporate Communications Manager
+65 6212 0574
Markov Processes International, Inc:
+1 802 999 5526
Quantvest Capital LLC:
Chief Executive Officer
+1 212 939 7310