March 20, 2002 (PLANSPONSOR.com) - The trend of UK
pension administrators adopting fund specific benchmarks to
measure performance, ballooned during the 1990s to nearly 70%
by 2001, according to a Russell/Mellon CAPS pension
survey.
March 19, 2002 (PLANSPONSOR.com) - Standard &
Poor's hopes to give more investors confidence to invest in
hedge funds with the launch of a new hedge fund
index.
S&P announced plans to create the S&P Hedge Fund
Index, aimed at providing a transparent benchmark of the
hedge fund asset class. Some investors shy away from hedge
fund holdings because of what many see as a lack of
transparency.
The index will contain 40 funds divided into three
sub-indices:
These will, in turn, represent a total of nine specific
strategies, weighted to ensure an appropriate
representation of hedge fund investment approaches:
Macro
Equity Long/Short
Managed Futures
Special Situations
Merger Arbitrage
Distressed
Fixed Income Arbitrage
Convertible Arbitrage
Equity Market Neutral.
Selection Process
According to a media release from he company, potential
index constituents are passed through a series of
quantitative screening criteria to ensure that they conform
to their stated strategy’s return and risk
characteristics.
The funds must also agree to allow their valuations to
be verified by a third party on a daily basis so that the
index may be computed daily.
The funds must then pass a due diligence test to ensure
that they:
are appropriately managed
adhere to their stated strategy or style
maintain all necessary risk controls and operational
infrastructure.
Index values will be posted daily to the
S&P Web site
.
The index will be maintained by an index committee,
which will meet regularly to ensure that inclusion criteria
are being met and to implement necessary rebalancing.
S&P expects to announce the index composition and
methodology, and launch the index by the third quarter of
this year.