Barclays and Novus Launch Equity Index Family Based on Hedge Fund 13F Filings

Sep 14 2017 | 11:01pm ET

Global financial services giant Barclays has announced the launch of a new index family in partnership with portfolio analytics provider Novus that is based on the public filings of hedge funds. 

The new family, named the Novus Barclays Public Ownership HF Conviction Index family, will sit within Barclays’ existing range of quantitative investment strategies, the companies said in a joint statement. 

The new indices aim to provide an alternative to cap-weighted indices with a distinctive way to identify the key investment ideas of hedge funds. In addition to long-only indices, there will be market-hedged index versions that hold long positions 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. 

Two sets of indices have been launched, the statement continued. One focuses exclusively on U.S. domiciled, U.S. listed companies, and the other on all stocks listed in the U.S. including liquid ADRs. They both aim to invest in a portfolio of liquid stocks in which there are the most hedge funds holders with high conviction positions, with the data used to calculate which stocks qualify provided by Novus.

“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, in the statement. “As a large aggregator of hedge fund public data and with our expertise analyzing equity long/short managers, Novus is pleased to collaborate with Barclays on the development of these new and innovative indices.”

The collaboration between the two companies began in 2015, and over the last eighteen months, the two have investigated ways to use publicly available 13F filings to produce enhanced risk-adjusted returns versus comparable benchmarks. There is a significant demand for so-called smart beta indices, and the new family launched this week hopes to deliver hedge fund beta packaged in a more transparent and systematic manner.

Novus was founded in 2007 by a group of investors, data scientists and engineers to build a foundation that helps investors generate higher returns. Around 200 of the world’s top investment managers and institutional investors managing approximately $3.5 trillion use Novus as the foundation for data, analytics and research. 

With over 325 years of history, London-based Barclays operates in over 40 countries and employs approximately 85,000 people. The company moves, lends, invests and protects money for customers and clients globally and is one of the largest financial services companies in the world.

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