Merrill unveils hedge replication index

Merrill Lynch has introduced The Merrill Lynch Equity Volatility Arbitrage Index, a tracking index that seeks to replicate the returns of an S&P 500 volatility arbitrage strategy employed by many actively managed hedge funds.
The index is quoted intraday on Bloomberg under the symbol MLHFEV1, the New York-based firm said in a statement.
The Index uses rules to govern the investment process and eliminates the fees associated with active management.
Simulated back testing of the Merrill Lynch Equity Volatility Arbitrage Index has outperformed most major global broad-based investable and non-investable hedge fund benchmark indices, Merrill said in a statement.
This is the first in a series of hedge fund replication indices Merrill Lynch Research plans to launch that mechanically implement strategies commonly employed by actively managed hedge funds, the firm said in its statement.