The following provides a high-level overview of the construction methodology of Albourne’s three proprietary indices:
i) Alternative Risk Premia Indices: AltERS;
ii) Hedge Fund Indices: HedgeRS; and
iii) Private Markets Indices: PriMaRS.

Albourne’s indices span the alternatives liquidity spectrum and can be used by clients as a benchmark, as a representation of the performance of the overall industry, for strategy comparisons, and as factors.

Please see the following Indices- Terms of Use for more details.

Alternative Risk Premia Indices: AltERS

Overview:

Albourne’s Alternative Risk Premia Indices: AltERS, launched in October 2017, seek to measure the aggregate performance of investible, systematic and transparent investment products that do not charge a performance fee, termed “Alternative Risk Premia” products. These products provide exposure to alternative risk premia, such as Value, Carry, Trend, and offer daily pricing and (usually) daily liquidity. They are also known as risk premia or alternative beta indices and are offered by investment banks and asset managers, typically in an index format. Some asset managers’ products are available in a fund format.

Alternative Risk Premia Indices consist of 20 series, each of which is intended to be representative of the aggregate performance of a specific Alternative Risk Premia strategy. These 20 strategies are selected as being the most prevalent in the alternative risk premia industry. The list may change over time.

Methodology Notes:

The Alternative Risk Premia Indices are calculated and published daily. Each Alternative Risk Premia index is required to have at least five constituents (also referred to as “components”). The Alternative Risk Premia Indices levels are derived from the daily closing levels of the respective index components. The constituent Alternative Risk Premia products for each Alternative Risk Premia index is selected by the Index Committee quarterly, using a rules-based selection process with a discretionary overlay.

The weight assigned to each component within an Alternative Risk Premia index is inversely proportional to its five-year historical volatility and is re-calculated at the start of each month. A historical time series for each Alternative Risk Premia index will be computed as far back as possible based on the available track record of the components, including the components’ non-live (i.e., pro-forma) track records.

Constituent Criteria:

For any component to be an eligible constituent of Albourne’s Alternative Risk Premia Indices, it must:

  • Have a component strategy classification that matches the Alternative Risk Premia Indices strategy;
  • Be reported data on Moatspace (Albourne’s Alternative Risk Premia database);
  • Be open to new investments;
  • Have daily pricing and data reporting;
  • Have a minimum of 5 years’ historical returns data, which can include non-live track record;
  • Provide either:
    • Daily net of fees NAV (excluding holidays), or
    • Daily gross of fees NAV (excluding holidays) and Indicative On Top Fee
  • Provide indicative Entry and Exit Fees if applicable; and
  • Pass screening tests, including but not limited to:
    • Ensuring there is no other product from the same Alternative Risk Premia Provider that has a sufficiently similar methodology that is already included in Alternative Risk Premia Index.
    • Ensuring the product has features that are consistent with the strategy definition.

Hedge Fund Indices: HedgeRS

Overview:

Albourne's Hedge Fund Indices: HedgeRS, have an inception date of January 2002 and were launched in February 2020 with the aim of providing performance representation, strategy and risk expectations, and the creation of factors for alpha estimation for Hedge Fund strategies. The indices are constructed using Albourne’s proprietary database

Albourne’s indices can be used as a performance representation for Hedge Fund strategy risk and return expectations and as factors for alpha estimation.

Methodology Notes:

The Hedge Fund Indices are calculated 6 times per month on the 5th, 7th, 9th, 12th, and 18th UK business day of the month, as well as the 2nd UK business day of the next month, for the following 4 months. The governance and methodology of the Hedge Fund Indices is monitored by an internal Oversight Committee.

Key features include:

  • Funds classified as Hedge Funds and UCITs funds.
  • New additions are made on a monthly basis, subject to review from Albourne’s Investment Due Diligence (“IDD”) Analysts.
  • New constituents are screened by IDD analysts for correct strategy classification & exclusion of niche strategy funds.
  • Newly launched funds can be added after 2 monthly returns are reported (provided the Constituent Criteria are met).
  • The indices include funds which are both open and closed to new investments.
  • The Asset Weighted indices include funds which are In-Liquidation phase.
  • Monthly index values are locked after a 4-month window.
  • Constituents are capped at 40% weight in sub-strategy indices.

Constituent Criteria:

For any fund to be an eligible constituent of Albourne’s Hedge Fund Indices, it must:

  • Be listed on Albourne’s database in a Hedge Fund or UCITS fund type.
  • Fulfil strategy classification evaluated by Albourne’s IDD analysts.
  • Have a net-of-fees returns series (and for the specific month).
  • Have an AUM series (to be included in the Asset Weighted Indices).
  • Have a Fund Status which is not Liquidated.
  • Have reported at least one AUM in the 12-month period (to be included in the Asset Weighted Indices).

Further, entry is also dependent on the Fund’s restriction status.

Albourne’s Private Market Indices: PriMaRS

Overview:

Albourne’s Private Markets Indices: PriMaRS, are a suite of indices designed to be indicative of the aggregate performance of the private markets’ universe.

Albourne’s Private Markets Index is being offered as a transparent benchmark to help investors gain greater insight into the market and as a reference against which they can compare their own portfolios. The Private Markets Indices are computed from Albourne’s own proprietary database.

Methodology Notes:

The Private Markets Indices are computed using a single Representative Series for each fund. A representative series is a synthetic series that best represents the cashflows and NAV of the fund, computed using available data from multiple share classes. Private Markets Indices contain quarterly values and are updated twice monthly. On each index update date, all of Albourne’s Private Markets Indices are recomputed in their entirety, using all data known to Albourne on the calculation date.

Constituent Criteria:

For any fund to be an eligible constituent of Albourne’s Private Markets Indices, it must:

  • Have a strategy definition which matches the indices classification definitions. Note, that participation of a fund in one index does not preclude participation of the same fund in other indices.
  • Have a matching vintage year.

Further, entry is also dependent on the Fund’s restriction status.