Barclays, Novus unveil smart beta equity indices based on hedge fund filings

Sep 13th, 2017 | By | Category: ETF and Index News

Barclays and data analytics platform Novus have launched the Novus Barclays Public Ownership HF Conviction Index family, a new addition to the Barclays range of Quantitative Investment Strategies.

Barclays, Novus unveil smart beta equity indices based on hedge fund filings

Barclays, Novus unveil smart beta equity indices based on hedge fund filings.

The smart beta indices track equities which, according to regulatory filings, are commonly held in high conviction positions across some of the largest funds in the hedge fund industry. The data used to calculate the stocks which are most commonly held in high conviction positions will be provided by Novus.

The new indices provide an alternative to market capitalisation-weighted indices by weighting their constituents according to the degree of conviction associated with each stock.

Barclays and Novus have introduced the index suite with the initial launch of two sets of indices. The first will focus on exclusively US-domiciled, US-listed companies, and the other will include all stocks listed in the US including non-US based companies with liquid American Depositary Receipts.

In addition to the long-only indices, market-hedged index versions have also been introduced. These indices hold a long position in the Novus Barclays Public Ownership HF Conviction Index and a beta-adjusted short position in the relevant benchmark index, with the aim of providing a ‘market neutral’ investment.

All indices are available for product development, including as the underlying for exchange-traded funds (ETFs).

“Barclays is delighted to expand our range of indices and increase the breadth of strategies available to investors via the index format,” said Benedict Redmond, director of EFS solutions at Barclays. “We believe that these indices will be compelling for a wide range of investors seeking alternative sources of returns, and we are very pleased to be able to leverage Novus’ expertise in this space to launch these indices.”

“In a world where information spreads ever faster and is available to everyone, we now have the chance to track the wisdom of crowds by applying big data techniques and intelligent algorithms to large datasets,” said Andrea Gentilini, president of Novus. “As a large aggregator of hedge fund public data and with our expertise analysing equity long-short managers, Novus is pleased to collaborate with Barclays on the development of these new and innovative indices.”

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