Nomura and Hedge Fund Research, Inc. has announced the launch of the HFRq Hedge Fund Replication Long Index and the HFRq Hedge Fund Replication Short Index (together, the “HFRq Indices”), developed in collaboration with sub-adviser and quantitative think tank, QES.

The HFRq Indices are designed to approximate hedge fund returns using factor analysis and a unique and proprietary modular methodology. Using access to daily performance and risk sensitivity data from Hedge Fund Research, Inc., the HFRq maximizes the correlation to the HFRI Fund Weighted Composite Index. This correlation makes the HFRq an ideal candidate for both a long-only product and a ‘short-able’ instrument. The HFRq is a systematic, transparent strategy which exclusively utilises exchange traded futures contracts resulting in daily liquidity and transparency and daily pricing.

Mohamed Yangui, Managing Director, Head of Product Development and Structuring Group at Nomura said: “We are confident that this index will establish itself as one of the leaders in the broader replication space. It uses a unique and proprietary replication methodology that combines backward looking replication tools with forward looking analysis. It is designed to capture the risk profile of how managers implement their strategies and therefore reduces the reliance on traditional regression methods and the usual problems associated with these.”

Joseph G. Nicholas, Chairman and CEO of HFR, commented: “We are proud to present, in conjunction with Nomura and QES, the HFRq Indices as the newest members of the HFR family of hedge fund indices.”

Exposure to the HFRq Indices is obtained through products traded via Nomura. Nomura is able to provide a variety of products and to structure not only long or short exposure but also provide structured products and optionality on the HFRq Indices. The HFRq Indices are suitable for a wide variety of clients for market risk taking or market risk hedging.