NEW YORK (HedgeWorld.com)–Standard & Poor’s will expand its S&P Hedge Fund Index to create a managed futures index, S&P Managed Futures Index, and might have additional alternatives indexes in the works.
Separately, Van Hedge Fund Advisors International Inc., Nashville, Tenn., is working on the creation of a new hedge fund index based on hedge funds that are still available for investment, executives said. They declined to discuss the index, though, until Van has completed a formal statement about it.
The S&P futures index has 14 components, four of which are included in the S&P Hedge Fund Index. The introduction of this new futures index follows S&P’s introduction last year of an indicator that seeks to replicate the trend following returns of futures managers, the S&P Diversified Trends Indicator. S&P adopted that tool from Alpha Financial Technologies LLC, Dallas, a firm headed by Victor Sperandeo, chief executive, who also is known as Trader Vic.
Like S&P’s hedge fund indexes and its existing futures gauge, the company will publish performance for the new futures index on a daily basis, beginning in February.
S&P also expects to introduce similar standalone indexes around the hedge fund strategies contained in its hedge fund indexes, according to a company statement. Those strategies include long/short equity, global macro and various arbitrage approaches.
The components of the futures index are:
- Aspect Diversified Fund
- Beach Discretionary Fund Ltd.
- Campbell Financial, Metals & Energy Large Portfolio
- Chesapeake Diversified Program
- DUNN Combined Financial
- Eclipse Global Monetary Program
- Graham Global Investment Fund Ltd. (Diversified Portfolio)
- Hyman Beck & Co. (Global Portfolio)
- John W. Henry & Co. Inc. Global Financial & Energy Portfolio
- Beacon Meka-MV
- Millburn International (Cayman) Ltd.-The Diversified Portfolio
- Rotella Polaris Fund Ltd.
- Willowbridge Argo Trading System
- Winton Diversified