July 2012 Performance of the HFRX Indices

All HFRX Indices by Type
HFRX Index Descriptions HFRX Index Characteristics HFRX Index Methodology HFR Indices FAQ HFR Index Redistribution Licensing
HFRX INDICES - STRATEGY
 
Monthly Performance
Historical Performance
 
JULY
ROR
JUNE
ROR
YTD
INDEX VALUE
(JULY 31, 2012)
Last 12 M
Last 36 M
(ann)
Last 48 M
(ann)
New Indices
HFRX Emerging Markets Composite Index 0.21% 0.32% 4.99%      1,979.53 -1.22% 7.10% 5.08%
HFRX Fixed Income - Credit Index 0.64% 0.18% 4.02%      1,809.38 -1.29% 7.45% 7.10%
HFRX MLP Index 5.33% 0.62% 1.30%      1,494.21 7.50% 17.17% n/a
 
Global
HFRX Absolute Return Index -0.23% 0.07% -0.11%         945.54 -1.80% -1.48% -4.73%
HFRX Aggregate Index 1.00% 0.25% 2.67%      1,389.12 -2.67% 3.73% 0.59%
HFRX Equal Weighted Strategies Index 0.45% -0.39% 1.45%      1,114.68 -4.31% 1.75% -2.76%
HFRX Global Hedge Fund Index 0.54% -0.30% 1.77%      1,129.03 -5.15% 1.04% -3.07%
HFRX Market Directional Index 1.78% -0.02% 0.61%      1,027.99 -14.61% -0.43% -4.78%
Equity Hedge
HFRX Equity Hedge Index 0.55% 0.52% 1.74%      1,017.84 -9.43% -1.93% -5.63%
HFRX EH: Energy/Basic Materials Index 0.46% -0.57% -5.91%      1,371.72 -14.78% -0.41% -4.26%
HFRX EH: Equity Market Neutral Index -0.07% -1.46% -5.03%         932.02 -9.79% -2.17% -3.60%
HFRX EH: Fundamental Growth Index -0.09% -0.26% 2.35%      1,442.27 -12.22% 0.18% -2.78%
HFRX EH: Fundamental Value Index 1.38% 0.93% 2.84%         950.22 -11.65% -3.08% -6.53%
HFRX EH: Multi-Strategy Index 1.29% 1.54% 1.21%      1,546.87 -11.10% 3.54% 0.13%
HFRX EH: Quantitative Directional Index 0.75% 0.79% 4.96%      1,377.68 4.08% 2.13% -0.34%
HFRX EH: Short Bias Index 0.13% -2.00% -11.86%         716.98 -0.32% -12.46% -9.76%
HFRX EH: Technology/Healthcare Index -0.38% 0.42% 3.85%      1,588.47 2.11% 4.86% 2.72%
Event Driven
HFRX Event Driven Index 0.25% -0.57% 3.25%      1,349.73 -2.57% 1.78% -1.14%
HFRX ED: Activist Index 3.58% 2.22% 6.87%      1,592.54 -8.14% 5.30% 3.21%
HFRX ED: Credit Arbitrage Index 0.68% 0.22% 5.06%      1,743.15 3.78% 9.32% 9.21%
HFRX ED: Distressed Restructuring Index 0.45% -0.71% 3.50%         976.74 -5.06% 2.58% -8.24%
HFRX ED: Merger Arbitrage Index -0.20% -0.54% 0.79%      1,505.53 -1.54% 2.75% 3.27%
HFRX ED: Multi-Strategy Index 0.20% 0.51% 2.83%      1,572.68 -3.08% 3.45% -1.44%
HFRX ED: Private Issue/Regulation D Index -2.51% -0.76% 0.10%      1,557.29 -4.06% 5.56% 1.62%
HFRX ED: Special Situations Index 0.08% -1.04% 1.06%      1,083.59 -4.28% 1.72% -2.09%
Macro
HFRX Macro/CTA Index 1.48% -1.30% -0.35%      1,161.99 -4.35% -3.35% -4.46%
HFRX Macro: Active Trading Index 1.87% 0.37% 4.18%      1,575.51 -1.26% 0.41% 0.06%
HFRX Macro: Commodity Index 2.09% 2.79% 3.95%      1,597.66 -4.19% -3.79% -2.87%
HFRX Macro: Commodity: Agriculture Index 2.47% 1.04% -1.80%      1,333.06 -5.46% -1.85% -2.28%
HFRX Macro: Commodity: Energy Index -0.02% -2.88% 1.93%      1,125.71 5.34% 3.77% -1.86%
HFRX Macro: Commodity: Metals Index 4.44% -4.95% -11.59%      2,693.88 -24.19% 2.35% 2.70%
HFRX Macro: Currency Index 0.23% 0.31% -1.08%         985.93 -4.40% -0.52% -1.19%
HFRX Macro: Discretionary Thematic Index 0.74% 1.06% 5.70%      1,694.62 3.16% 4.12% 1.62%
HFRX Macro: Multi-Strategy Index 2.45% -0.12% 5.02%      1,625.65 2.03% 3.65% 5.98%
HFRX Macro: Systematic Diversified CTA Index 3.23% -3.92% -1.54%      1,616.26 -1.60% 1.38% 1.68%
Relative Value
HFRX Relative Value Arbitrage Index 0.03% -0.02% 2.16%      1,152.62 -3.53% 6.64% 0.34%
HFRX RV: Energy Infrastructure Index 4.51% 0.48% 2.67%      2,110.47 3.24% 14.01% 7.70%
HFRX RV: FI-Asset Backed Index 2.02% 2.02% 13.94%      2,264.11 15.06% 16.79% 16.32%
HFRX RV: FI- Convertible Arbitrage Index 1.16% 0.75% 5.19%         689.08 1.08% 7.11% -7.95%
HFRX RV: FI-Corporate Index 1.19% 0.78% 5.52%      1,371.46 2.16% 11.05% 3.10%
HFRX RV: FI-Sovereign Index 0.97% 1.21% 0.55%      1,267.90 -2.53% 2.01% -1.83%
HFRX RV: Multi-Strategy Index -0.54% 0.19% 1.50%      1,796.82 -0.94% 9.46% 8.03%
HFRX RV: Real Estate Index 0.82% 1.47% 6.91%      1,114.02 -5.09% 3.46% 2.52%
HFRX RV: Volatility Index 0.71% 0.76% 4.77%      1,370.66 1.81% 0.90% -1.37%
HFRX RV: Yield Alternative Index 2.67% 0.98% 4.83%      1,691.24 -0.78% 8.82% 3.46%
Concept
HFRX Alternative Energy Index 0.59% 1.21% 1.96%      1,331.27 4.88% 9.23% 0.41%
HFRX Diversity Index 1.20% -0.02% 3.46%      2,057.22 -3.17% 5.14% 5.03%
HFRX Fixed Income - Credit Index 0.64% 0.18% 4.02%      1,809.38 -1.29% 7.45% 7.10%
HFRX MLP Index 5.33% 0.62% 1.30%      1,494.21 7.50% 17.17% n/a

HFR Products via Morningstar Direct

HFR Indices now available via Morningstar Direct. Morningstar Direct clients interested in accessing HFR Products should contact their Morningstar Client Solutions Consultant or support team.
more information


New: HFR Asian Hedge Fund Industry Report - Q2 2012

HFRX INDICES - REGIONAL
 
Monthly Performance
Historical Performance
 
JULY
ROR
JUNE
ROR
YTD
INDEX VALUE
(JULY 31, 2012)
Last 12 M
Last 36 M
(ann)
Last 48 M
(ann)
HFRX Asia Composite Hedge Fund Index 0.67% 0.93% 2.26%      1,635.21 -7.74% 1.32% 2.58%
HFRX Asia Equally Weighted Index 0.62% 1.11% 2.55%      1,661.58 -6.94% 1.53% 2.53%
HFRX Asia ex-Japan Index 1.13% 0.55% 0.28%      1,807.87 -13.73% -0.82% 1.10%
HFRX Asia with Japan Index 0.30% 0.27% 3.34%      1,971.02 -3.28% 4.10% 6.09%
HFRX Brazil Index -0.53% 0.82% 4.65%      1,509.74 -9.77% 8.49% 1.20%
HFRX BRIC Index 0.50% 1.94% 4.33%      2,193.70 -15.54% 4.09% 1.50%
HFRX China Index 0.23% 1.09% -0.35%      2,384.33 -10.67% 0.85% 6.32%
HFRX Emerging Markets Composite Index 0.21% 0.32% 4.99%      1,979.53 -1.22% 7.10% 5.08%
HFRX India Index 0.76% 3.64% 10.02%      1,617.76 -30.01% -6.07% -4.20%
HFRX Japan Index 0.43% 2.52% 4.06%      1,207.04 -3.53% 0.66% -0.21%
HFRX Latin America Index 0.99% 0.06% 3.57%      1,728.99 -6.47% 11.21% 5.72%
HFRX MENA Index 1.48% -0.76% 2.71%      1,655.70 -2.31% 5.59% 2.17%
HFRX Multi-Emerging Markets Index 1.14% -0.88% 4.44%      1,684.47 2.25% 10.81% 3.73%
HFRX Multi-Region Index 1.18% -1.08% 3.03%      1,163.34 -8.88% -1.72% -1.60%
HFRX North America Index 1.66% 0.86% 2.07%      1,279.87 -3.03% 1.83% -0.08%
HFRX Northern Europe Index 1.07% -0.22% 8.28%      1,544.92 8.45% 5.57% 4.95%
HFRX Russia Index 1.53% 2.42% 2.26%      2,351.16 -13.38% 11.07% 0.08%
HFRX Russia/Eastern Europe Index 1.61% 1.66% -1.21%      1,781.13 -16.80% 5.44% -4.66%
HFRX Total Emerging Market Index 1.19% 0.22% 1.03%      1,713.37 -5.61% 6.56% 2.10%
HFRX Western/Pan Europe Index 1.65% 0.23% 4.87%      1,577.45 1.86% 4.77% 0.86%

HFR Global Hedge Fund Industry Reports

HFRX INDICES - FX HEDGED
 
Monthly Performance
Historical Performance
 
JULY
ROR
JUNE
ROR
YTD
INDEX VALUE
(JULY 31, 2012)
Last 12 M
Last 36 M
(ann)
Last 48 M
(ann)
HFRX Equal Weighted Strategies CHF Index 0.38% -0.43% 1.00%      1,222.32 -5.40% 0.97% -3.67%
HFRX Equal Weighted Strategies EUR Index 0.45% -0.39% 1.26%      1,050.22 -4.54% 1.69% -3.00%
HFRX Equal Weighted Strategies GBP Index 0.45% -0.36% 1.48%      2,055.21 -4.28% 1.87% -2.91%
HFRX Equal Weighted Strategies JPY Index 0.41% -0.43% 1.29%     98,669.07 -4.64% 1.49% -3.01%
HFRX Global Hedge Fund CHF Index 0.46% -0.35% 1.23%      1,232.49 -6.38% 0.21% -4.02%
HFRX Global Hedge Fund EUR Index 0.51% -0.30% 1.50%      1,052.33 -5.48% 0.79% -3.58%
HFRX Global Hedge Fund GBP Index 0.44% -0.27% 1.68%      2,085.32 -4.89% 1.22% -3.16%
HFRX Global Hedge Fund JPY Index 0.50% -0.34% 1.63%   100,482.63 -5.45% 0.75% -3.34%
HFRX Equity Hedge EUR Index 0.56% 0.52% 1.39%         969.05 -9.94% -2.21% -6.16%
HFRX Event Driven EUR Index 0.24% -0.56% 2.99%      1,293.24 -2.88% 1.64% -1.45%
HFRX Macro/CTA EUR Index 1.48% -1.30% -0.40%      1,125.78 -4.28% -3.27% -4.36%
HFRX Relative Value Arbitrage EUR Index 0.03% -0.02% 1.95%      1,101.83 -3.74% 6.58% -0.12%

HFRX Indices are designed to be representative of the overall composition of the hedge fund industry.

Hedge Fund Research, Inc. ("HFR") utilizes a UCITSIII compliant methodology to construct the HFRX Hedge Fund Indices. The methodology is based on defined and predetermined rules and objective criteria to select and rebalance components to maximize representation of the Hedge Fund Strategy Universe. Construction of each Index employs state-of-the-art quantitative techniques and qualitative analysis. Multi-level screening, cluster analysis, Monte-Carlo simulations and optimization techniques ensure that each Index is a pure representation of its corresponding hedge fund strategy.

The full "HFRX Hedge Fund Indices Defined Formulaic Methodology" may be downloaded here.

HFRX index performance profiles reflect respective dates of inception. Index values provided prior to the inception of daily performance, are calculated by means of retroactive and iterative application of the index model. The values for the HFRX EUR, JPY, CHF and GBP FX Indices are calculated by applying to the USD index value the cost of a rolling monthly foreign exchange contract on the relevant currency. All HFRX Indices are re-balanced quarterly.


WOULD YOU LIKE TO RECEIVE DAILY UPDATES OF THE HFRX INDICES AS SOON AS THEY ARE POSTED?

License HFR Index data and receive daily and monthly feeds of HFR Indices data via our HFR Index Direct service.



HFR Database HFRDatabase.com HFR Industry Reports HFR Manager Access Package


© 2012 Hedge Fund Research, Inc. - All rights reserved. HFR®, HFRI®, HFRX®, HFRQ® and HEDGE FUND RESEARCH™ are the trademarks of Hedge Fund Research, Inc.

DISCLAIMER: This information is obtained from sources that Hedge Fund Research, Inc. considers to be reliable; however, no representation is made as to, and no responsibility or liability is accepted for, the accuracy or completeness of the information. Information contained herein is subject to change at any time without notice.


To update your contact information please click here
If you would like to unsubscribe from our contact list please click here