NEW YORK (HedgeWorld.com)–Dow Jones & Co. plans to start publishing hedge fund indexes in November, providing daily and monthly returns for five investment strategies, as a basis for investable products.
The strategies are equity market neutral, convertible arbitrage, distressed securities, merger arbitrage and event driven. According to the company, these measures are style pure, and fund returns within each strategy are highly correlated with each other.
Critics charge that because of the heterogeneity of individual manager styles, hedge fund indexes in general are not meaningful benchmarks–style purity is one way of addressing such objections.
A group in Zurich Capital Markets originally developed the Dow Jones indexes. Recently, this management team brought out the business, which has US$1.3 billion in assets, and formed Lyra Capital LLC .
“Lyra Capital is the successor firm to Zurich Institutional Benchmarks Management LLC,” said Lyra chief Garry Crowder, in a statement. “Over the past three years, we have been a leader in the research and development of meaningful hedge fund structures for institutional clients.”
Dow Jones has now taken ownership of the indexes and formed an advisory committee to oversee them. Besides Dow executives and Crowder, the advisers are major institutional investors.
Pension officers Nancy Everett of Virginia Retirement Systems and Neil Petroff of the Ontario Teachers Pension Plan and Edgar Sullivan of General Motors Asset Management are among them. Mark Yusko of the University of North Carolina at Chapel Hill, Philip Halpern of the University of Chicago and Laurence Siegel of the Ford Foundation represent endowment and foundations active in alternative investments.
Competition is stiff in the hedge fund database and index arena, where a growing number of products are vying to become the top benchmark for the industry. There are now more than 11 databases, according to a recent review by State Street Global Advisers. Standard and Poor’s, Morgan Stanley Capital International and Credit Suisse First Boston/Tremont* are among well-known hedge fund index providers.
*Tremont Capital Management Inc., Rye, N.Y., is a strategic partner of and a minority investor in HedgeWorld.