The Novus 4c Indices Q4 2018

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The Novus 4C Indices track important hedge fund factors through public equities. The data underlying index creation is sourced from an aggregate hedge fund portfolio called the Novus Hedge Fund Universe (HFU). HFU is composed of over 1,500 vetted hedge fund public portfolios. It is a subset of the Novus Public Ownership Database of over 10,000 historical portfolios built from regulatory filings around the globe. All the indices described here have been simulated using daily P&L and adjusted for corporate actions associated with public filings. All indices discussed here contain 20 equally-weighted positions and are rebalanced quarterly. For this paper, we do not account for the lag in 13F reporting, using quarter ends as the knowledge date. Clients can inquire about the lagged versions and the cost of lag associated with a delay in reporting for each index.