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S&P Unveils Futures Index, Van Readies New Hedge I

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NEW YORK (–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

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