Adopting the methodology behind the EDHEC Alterative Indexes, EDHEX has launched the EDHEC Investable Hedge Fund Indices.
These indices, which are made up of a limited number of single hedge funds, are designed to be one-dimensional summaries of information conveyed by a variety of hedge funds following a given style, in the sense of the largest fraction of the variance explained.
The EDHEC Investable Hedge Fund Indices are invested in funds that are managed on the Lyxor AM (Socit Gnrale group) managed accounts platform, which allows them to benefit from a secure and liquid investment context. Their performances will be calculated every week and their liquidity is also weekly.
The EDHEC Investable Hedge Fund Indices are not funds of funds and as a result are not marketed as such.
To date, five EDHEC Investable Hedge Fund Indices have been created, covering five popular strategies, namely, Convertible Arbitrage, Equity Market Neutral, Long/Short Equity, CTA Global and Event Driven. These strategies not only represent the bulk of assets managed in the alternative arena (i.e. 65%) but they also deliver betas that are representative of the hedge fund universe.