The FINANCIAL — Innocap Investment Management Inc., a subsidiary of National Bank of Canada (TSX:NA) and BNP Paribas, is pleased to announce that they have signed the first license issued by MSCI to use the MSCI HF Composite Index as a basis for funds that synthetically track the performance of the index.
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According to BNP Paribas, this license agreement completes the roll out of the Innocap family of replication products that was launched in July 2007. Innocap developed a diverse suite of funds, each of which has a clearly defined objective. Salto MSCI HF Composite Synthetic Tracker aims at minimizing the tracking error with the reference index while Verso MSCI HF Composite Short Synthetic Tracker offers a short version for hedging purposes. Dosalto MSCI HF Composite Leveraged Synthetic Tracker will soon be launched to offer a 2X leveraged version of Salto. All products are offered to accredited institutional investors through a Malta based vehicle (Sub-Funds of NBCG Fund SICAV p.l.c.), for which Innocap acts as investment advisor.
Martin Gagnon, Co-CEO of Innocap said: “Innocap developed what we believe to be the most advanced algorithm currently available on the market to track HF indices using liquid factors. We use a sophisticated filter specifically designed for tracking complex trajectories, allowing the products to be very robust and highly adaptable to changes in market conditions. Moreover, the algorithm handles more than 15 factors and allows non-linear exposure dynamics. It represents a new generation of products tracking HF returns.â€
Innocap believes that synthetic HF index trackers should be offered at extremely attractive terms and conditions. This is why these tracker funds are offered for a very low management fee, with daily NAV calculation as well as daily liquidity and transparency to the underlying exposure for investors.
Innocap chose to replicate the MSCI HF Composite Index. Not only does it have a very attractive risk-return profile in the industry, but it is also a more robust index with a very rigid reporting methodology. “We are delighted that Innocap has chosen the MSCI Hedge Fund Composite Index for their family of synthetic tracker funds,†said Henry Fernandez, Chairman and CEO of MSCI Barra.
Jacques Vigner, Global Head of Structuring at BNP Paribas Equities %26amp; Derivatives added: “We believe that Innocaps product represents the leading edge in the replicators currently available on the market. We intend to offer it to our clients in different structured products as it offers great flexibility at an attractive price.â€
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