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MPI ties up with Eurekahedge & BarclayHedge

Dynamic factor models power new hedge fund indices

PROFILE

Markov Processes International (MPI) and their clients contend that to stay relevant, indices should be representative and investable. There are reasons to question whether some existing indices meet either or both criteria, and clearly conflicts exist between the two objectives. Most existing indices are all inclusive, equally weighted and comprised of hard closed funds and a long tail of small funds, but it is not possible to access hard closed funds and not practical to maintain miniscule investments in transient cohorts of thousands of tiny funds.

MPI are also of the opinion that selection/nonreporting bias, survivorship bias, and backfill or instant history bias can all serve to artificially inflate index returns, which are often higher for noninvestable than for investable hedge fund indices. According to MPI, these biases can be overcome by building a representative index comprised of a selective group of the largest funds.

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About The Hedge Fund Journal

Informing the Hedge Fund Community. With access to some of the industry’s biggest names and an astute and talented group of writers and contributors, The Hedge Fund Journal has established itself as a trusted source of information on the hedge fund industry.