JP Morgan has isolated the systematic sources of hedge fund returns and is planning to launch indices tracking these sources of return, reported The Financial Times. The alternative index series consists of 26 indices using core strategies like momentum, carry and satellite, across equities, interest rates, foreign exchange and commodities.
According to Thomas Salter, head of product development of equity derivatives group at JP Morgan, hedge fund returns can be divided into three parts Alpha, alternative beta and beta.
Mr Salter said: “What we’re aiming at is the middle part. We’re trying to take it to a higher level by going directly to the root sources of alternative returns. There is no generally accepted framework for thinking about alternative beta. We’re talking about creating indices that characterise the market in a transparent and credible way.”
JP Morgan said that the indices are fully tradeable and is planning to launch a Ucits fund based on a combination of them next year, reported the newspaper.
