TMQR Swarm Intelligence Indexes

 

I have put together a presentation on a group of 5 potential Alternative Investment Indexes based on the work I have shown you so far.

 

  1. TMQR Swarm Intel Commodity Index:  
  2. TMQR Swarm Intel Currency Index :  
  3. TMQR Swarm Intel Bullish Equity Index :  
  4. TMQR Swarm Intel Market Neutral Index: 
  5. TMQR Swarm Intel Short Index:
 

TMQR SIn Commodity Index:

The index is a long/short, rules-based index designed to provide exposure to hedge fund-style trading strategies across commodity, currencies and interest rates markets.  

TMQR SIn Currency Index :

The index is a long/short, rules-based index designed to provide exposure to hedge fund-style trading strategies across currencies and metals markets.  

TMQR SIn Bullish Equity Index :

The index is a long, rules-based index designed to provide exposure to a bullish hedge fund-style trading strategies across US Equity markets.  

TMQR SIn Market Neutral Index:

The index is a long/short, rules-based index designed to provide exposure to bullish and bearish hedge fund-style trading strategies across US Equity markets. 

TMQR SIn Short Index:

The index is a long/short, rules-based index designed to provide exposure to bearish biased hedge fund-style trading strategies across US Equity markets.

I have used the name Swarm Intelligence in the Index names as it is "buzzy" and represent the concept of improving decision making from analysis of large groups of actors.

I have also identified a group of existing ETFs and or Hedge Fund Indexes that are substitutes for the proposed Indexes.

Here is the executive summary...

Swarm Intelligence

  • fish have schools, birds have flocks, bees have swarms.

  • combines the power of many minds into one.

  • a collection of managers can be smarter the one.

The respective stats by Index:

A short list of the existing investable  products are as follows:

  1. IQ Hedge Multi-Strategy Tracker ETF AUM $1.19B
  2. The WisdomTree Managed Futures Strategy Fund AUM $169.95M
  3. The JPMorgan Diversified Alternatives ETF AUM $200.88M
  4. Pacer Trendpilot U.S. Large Cap ETF AUM $1.25B

I have also attached an excel doc of ETFs in the Alternatives ETF space in the US ~ $5-6 Billion AUM total

https://1drv.ms/x/s!AuB3E_ccLfC_0FsYSY-Xpe5GMaXD

These four ETFs fall into one of four broad categories

  • Trend following (Pacer Trendpilot U.S. Large-Cap ETF )

  • Market Neutral (The JP Morgan Diversified Alternatives ETF )

  • Multi-strategy ( IQ Hedge Multi-Strategy Tracker ETF)

  • Commodity Trend Following (The Wisdom Tree Managed Futures Strategy Fund)

A list of four uninvestable but interesting and useful Hedge Fund Indexes:

  1. Eurekahedge Commodity Hedge Fund Index

  2. Eurekahedge FX Hedge Fund Index

  3. Eurekahedge Trend Following Index

  4. Eurekahedge AI Hedge Fund Index

The EurekHedge AI HF Index is a basket of 18 Funds that profess to use artificial intelligence techniques in their investment process.

As you can see it is quite different from the others and seemingly correlated to the proposed Swarm Intelligence Indexes. ​​

The summary stats for the investable products:

The summary stats for the uninvestable indexes:

Please note the Eureka Indexes are monthly so the yellow values are the correct values for comparison.

I am attaching my working notebook in HTML so you can view it.

 

https://1drv.ms/u/s!AuB3E_ccLfC_0F5JFkyjBd7Skzvm

Here are  a few comparison pictures in closing:

TMQR SIn Commodity Index: 
TMQR SIn Currency Index : 
TMQR SIn Bullish Equity Index : 
TMQR SIn Market Neutral Index:
TMQR SIn Short Index:
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