IU: How noncorrelated is this ETF's benchmark to the broader stock market?

Bruno: The CS Tremont index has a correlation of between 50-60% to the S&P 500. We expect our ETF to have similar levels of correlation to the S&P 500. We have live returns on the IQ Multi-Strategy Index since 2007. But including live and backtested returns, it has generated about a 4.86% average annualized return in the past five years through February. And during that same period, the average annualized volatility is less than 6%. By comparison, the S&P 500 returned -6.63% with significantly greater volatility.

IU: With slightly more than 9,000 hedge funds in the U.S., how can you accurately categorize all those funds into six distinct styles?

Bruno: We've chosen to outsource that level of analysis to CS Tremont and Hedge Fund Research Inc. We work with data at the strategy level, not at the fund level. That's an important point because at the fund level, there's a lot of specific fund manager risk, which is difficult to model. We're actually able to better identify the common factors driving hedge fund returns without being distracted by the noise of manager-specific risk.

The Complete Portfolio Of QAI (Through March 25)

1 | 2 |