Disintermediated Performance

and Robust Risk Analysis

Long/Short Equity | Multi-Strategy | Fixed Income | Commodities

Event Driven | Relative Value | Global Macro | Managed Futures | Emerging Markets

Two Sigma | Marshall Wace | Bridgewater | AQR | Renaissance | ValueAct | Man Group | …

Simple Model Portfolios

Diversifying Indexed Alternative. Reducing single-manager risk while accessing consistent top percentile performance with minimal fees …

in a tax efficient manner.

The minimization of tracking error to the market while allowing for significantly greater risk-adjusted performance.

Solving for 2 pillars that define investor psychology: uncertainty and risk appetite.

Optimal and Efficient long-term

Outperformance

Minimization of Key Investment Risks

  • Elimination of single-manager risk

  • Minimization of portfolio construction over-optimization risks: correlation and volatility estimation errors

  • Completely transparent and fully liquid

  • Optimized for tax efficiency

Obtain up to 100% of the performance of the elite diversifying hedge funds with minimal tracking error

  • Optimized for minimal transaction costs and portfolio turnover

  • Resulting fees on a net exposure basis are up to 100 times less than the underlying constituents

Why Hedge Fund Indices?

  • Some Hedge Fund Categories are among the best diversifiers

  • Single-Manager Risk: Unable to pick a top performing fund ex-ante (individual fund performance is not persistent)

  • Leverage the collective knowledge of the top hedge funds and managers

  • An Equally-Weighted Hedge Fund Index consistently dominates in Total Returns, Volatility, and Risk-Adjusted Returns over the average constituent fund in all categories*:

    • Dominates on average over 2/3 of constituent funds in the Equity and Event Driven Category

    • Dominates on average over 7/10 of constituent funds in the Relative Value Category

    • Dominates on average over 8/10 of constituent funds in the Macro Category

    • Dominates a Non-Equally Weighted Portfolio of Hedge Funds the majority of the time

      A Hedge Fund Index is a Consistent Top Percentile Performer

* Akos Beleznay, Michael Markov, Alexey Panchekha: Hidden Benefits of Equal Weighting: The Case for Hedge Fund Indices

Low expenses and highly cash-efficient exposure

  • Replicating the pre-fee performance with minimal tracking error to the leading investment funds utilizing a fully top-down approach (bottom up replication leads to single-manager risk)

  • Robust methodology of performance capture: identifying a time varying subset of markets and factors and positioning to emulate future performance

  • Trades the most highly liquid markets, which minimizes crowding, illiquidity and frontrunning risks

A Distinctive Offering

We aim to provide clients with efficient portfolios.

We offer customizable products for all types of investors: institutional grade hedge fund indices and robust complementary solutions.

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