HFRX® Indices Performance Tables
The HFRX® Indices utilize a rigorous quantitative selection process to represent the larger hedge fund universe. Registered Users can view detailed information on each index, including the full performance history and charting features.
HFR® is the established global leader in the indexation, analysis and research of the hedge fund industry. With over 150 indices ranging from broad composites down to specific, niche areas of sub-strategy and regional investment focus, the HFR Indices are considered the industry standard benchmarks of hedge fund performance.
NEW: HFR now offers two HFRX Index series: the daily-reporting HFRX Indices (UCITS) which are comprised of liquid alternative UCITS funds and the monthly-reporting HFRX Indices (Flagship Funds) which are comprised of private hedge funds.
HFRX Indices (UCITS)
| Index Name | DTD | MTD | YTD | Index Value | Jul 2020 | YTD | LAST 12M | LAST 36M | View Strategies | |
|---|---|---|---|---|---|---|---|---|---|---|
| HFRX Global Hedge Fund Index › | -0.0763% | 0.69% | 0.95% | 1304.70 | 1.35% | 0.25% | 3.69% | 1.32% | VIEW + | |
| HFRX Equity Hedge Index › | -0.1944% | 0.87% | -4.71% | 1214.36 | 0.82% | -5.53% | -2.35% | -0.14% | VIEW + | |
| HFRX Event Driven Index › | -0.0608% | 0.78% | 3.33% | 1671.66 | 0.89% | 2.52% | 9.81% | 0.11% | VIEW + | |
| HFRX Macro/CTA Index › | -0.1229% | 0.54% | 1.59% | 1199.38 | 1.78% | 1.04% | 1.42% | 1.60% | VIEW + | |
| HFRX Relative Value Arbitrage Index › | 0.0609% | 0.55% | 3.72% | 1294.07 | 2.03% | 3.15% | 5.14% | 3.19% | VIEW + |
Global
| Index Name | DTD | MTD | YTD | Index Value | Jul 2020 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Global Hedge Fund Index › | -0.0763% | 0.69% | 0.95% | 1304.70 | 1.35% | 0.25% | 3.69% | 1.32% | |
| HFRX Equal Weighted Strategies Index › | -0.0061% | 0.64% | 0.55% | 1278.71 | 1.06% | -0.08% | 2.39% | 0.42% | |
| HFRX Absolute Return Index › | -0.1246% | 0.32% | -0.06% | 1103.63 | 0.94% | -0.37% | 2.05% | 1.64% | |
| HFRX Market Directional Index › | -0.0741% | 1.22% | -2.30% | 1152.90 | 0.80% | -3.47% | -0.89% | -3.05% |
Equity Hedge
| Index Name | DTD | MTD | YTD | Index Value | Jul 2020 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Equity Hedge Index › | -0.1944% | 0.87% | -4.71% | 1214.36 | 0.82% | -5.53% | -2.35% | -0.14% | |
| HFRX EH: Equity Market Neutral Index › | 0.2227% | 0.62% | -6.11% | 896.22 | -1.77% | -6.69% | -6.78% | -3.76% | |
| HFRX EH: Fundamental Growth Index › | -0.6580% | 1.00% | -15.25% | 1435.21 | -0.21% | -16.09% | -14.40% | -4.13% | |
| HFRX EH: Fundamental Value Index › | -0.0018% | 0.82% | 0.58% | 1312.98 | 1.72% | -0.24% | 4.26% | 3.25% |
Event-Driven
| Index Name | DTD | MTD | YTD | Index Value | Jul 2020 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Event Driven Index › | -0.0608% | 0.78% | 3.33% | 1671.66 | 0.89% | 2.52% | 9.81% | 0.11% | |
| HFRX ED: Merger Arbitrage Index › | 0.1148% | 0.23% | -0.86% | 1806.11 | 0.94% | -1.09% | 1.20% | -0.61% | |
| HFRX ED: Special Situations Index › | -0.0721% | 0.82% | 3.63% | 1358.09 | 0.89% | 2.79% | 10.37% | -0.57% |
Macro
| Index Name | DTD | MTD | YTD | Index Value | Jul 2020 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Macro/CTA Index › | -0.1229% | 0.54% | 1.59% | 1199.38 | 1.78% | 1.04% | 1.42% | 1.60% | |
| HFRX Macro: Systematic Diversified CTA Index › | -0.1649% | 0.39% | 0.80% | 1612.05 | 1.89% | 0.41% | -0.98% | 2.45% |
Relative Value
| Index Name | DTD | MTD | YTD | Index Value | Jul 2020 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Relative Value Arbitrage Index › | 0.0609% | 0.55% | 3.72% | 1294.07 | 2.03% | 3.15% | 5.14% | 3.19% | |
| HFRX RV: FI-Convertible Arbitrage Index › | 0.0743% | 1.05% | 6.81% | 887.74 | 2.67% | 5.70% | 7.83% | 3.97% | |
| HFRX RV: Multi-Strategy Index › | 0.0596% | 0.50% | 3.43% | 1987.58 | 1.97% | 2.91% | 4.90% | 3.00% |
Regional
| Index Name | DTD | MTD | YTD | Index Value | Jul 2020 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Multi-Region Index › | 0.0140% | 0.55% | 5.01% | 1465.40 | 1.79% | 4.43% | 6.92% | 3.03% | |
| HFRX Emerging Markets Composite Index › | -0.2998% | 1.12% | -9.31% | 1639.45 | -0.57% | -10.31% | -9.13% | -4.30% |
FX Hedged
| Index Name | DTD | MTD | YTD | Index Value | Jul 2020 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Equal Weighted Strategies CHF Index › | -0.0058% | 0.56% | -0.68% | 1193.23 | 0.91% | -1.24% | -0.25% | -2.51% | |
| HFRX Equal Weighted Strategies EUR Index › | -0.0034% | 0.58% | -0.54% | 1063.06 | 0.92% | -1.12% | 0.04% | -2.16% | |
| HFRX Equal Weighted Strategies GBP Index › | -0.0047% | 0.60% | -0.36% | 2205.54 | 0.96% | -0.95% | 0.72% | -1.32% | |
| HFRX Equal Weighted Strategies JPY Index › | -0.0033% | 0.63% | 0.04% | 103678.56 | 1.02% | -0.59% | 0.91% | -1.37% | |
| HFRX Global Hedge Fund CAD Index › | -0.0723% | 0.69% | 0.58% | 1265.11 | 1.35% | -0.11% | 3.20% | 0.44% | |
| HFRX Global Hedge Fund CHF Index › | -0.0852% | 0.55% | -2.07% | 1148.17 | 0.98% | -2.61% | -1.48% | -3.29% | |
| HFRX Global Hedge Fund EUR Index › | -0.0831% | 0.59% | -1.88% | 1024.27 | 0.99% | -2.45% | -1.24% | -2.71% | |
| HFRX Global Hedge Fund GBP Index › | -0.0838% | 0.58% | -1.86% | 2150.50 | 1.04% | -2.42% | -0.64% | -1.82% | |
| HFRX Global Hedge Fund JPY Index › | -0.0744% | 0.69% | 0.44% | 105371.53 | 1.32% | -0.24% | 2.19% | -0.84% | |
| HFRX Equity Hedge EUR Index › | -0.1901% | 0.81% | -5.74% | 1027.60 | 0.69% | -6.50% | -4.58% | -2.48% | |
| HFRX Event Driven EUR Index › | -0.0564% | 0.73% | 2.19% | 1415.25 | 0.77% | 1.45% | 7.29% | -2.35% | |
| HFRX Macro/CTA EUR Index › | -0.1190% | 0.49% | 0.47% | 1037.43 | 1.62% | -0.02% | -0.89% | -0.86% | |
| HFRX Relative Value Arbitrage EUR Index › | 0.0639% | 0.50% | 2.56% | 1100.82 | 1.85% | 2.05% | 2.69% | 0.79% |
Thematic
| Index Name | DTD | MTD | YTD | Index Value | Jul 2020 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Fixed Income - Credit Index › | 0.0598% | 0.79% | 5.21% | 2231.76 | 2.66% | 4.38% | 7.24% | 2.84% |
HFRX Indices (Flagship Funds)
| Index Name | ROR | Index Value | YTD | LAST 12M | LAST 36M | LAST 60M | View Strategies | |
|---|---|---|---|---|---|---|---|---|
| HFRX Global Hedge Fund Index (Flagship Funds) › | 1.61% | 1428.59 | -2.52% | 1.39% | 3.03% | 2.46% | VIEW + | |
| HFRX Equity Hedge Index (Flagship Funds) › | 1.88% | 1343.66 | -0.49% | 2.98% | 4.43% | 3.34% | VIEW + | |
| HFRX Event Driven Index (Flagship Funds) › | 2.74% | 1280.58 | -5.73% | 1.67% | 1.69% | 2.39% | VIEW + | |
| HFRX Macro/CTA Index (Flagship Funds) › | -0.65% | 1359.41 | 0.50% | 2.59% | 3.13% | 1.63% | VIEW + | |
| HFRX Relative Value Index (Flagship Funds) › | 1.66% | 1599.88 | -4.03% | -1.99% | 2.44% | 1.97% | VIEW + |
Global
| Index Name | ROR | Index Value | YTD | LAST 12M | LAST 36M | LAST 60M | |
|---|---|---|---|---|---|---|---|
| HFRX Global Hedge Fund Index (Flagship Funds) › | 1.61% | 1428.59 | -2.52% | 1.39% | 3.03% | 2.46% | |
| HFRX Aggregate Index › | 1.70% | 1756.87 | -3.13% | -0.27% | 1.38% | 1.79% | |
| HFRX Alternative Energy Index › | 0.95% | 1867.39 | 4.52% | 10.40% | 9.09% | 5.11% | |
| HFRX Diversity Index › | 2.00% | 3394.81 | 2.21% | 5.84% | 5.87% | 4.91% | |
| HFRX Diversity: Women Index › | 6.75% | 1795.52 | 8.97% | 17.73% | 8.04% | 6.63% |
Equity Hedge
| Index Name | ROR | Index Value | YTD | LAST 12M | LAST 36M | LAST 60M | |
|---|---|---|---|---|---|---|---|
| HFRX Equity Hedge Index (Flagship Funds) › | 1.88% | 1343.66 | -0.49% | 2.98% | 4.43% | 3.34% | |
| HFRX EH: Energy/Basic Materials Index › | 0.11% | 1888.51 | 4.36% | 6.79% | 4.03% | 3.61% | |
| HFRX EH: Equity Market Neutral Index (Flagship Funds) › | 0.18% | 1188.08 | 2.40% | 5.64% | 2.17% | 2.06% | |
| HFRX EH: Fundamental Growth Index (Flagship Funds) › | 4.01% | 1211.67 | -2.69% | -1.33% | 3.46% | 1.54% | |
| HFRX EH: Fundamental Value Index (Flagship Funds) › | 1.38% | 1242.88 | -1.55% | 2.58% | 4.30% | 3.08% | |
| HFRX EH: Multi-Strategy Index › | 5.31% | 2479.74 | -0.18% | 4.94% | 2.72% | 4.54% | |
| HFRX EH: Quantitative Directional Index › | 0.50% | 1741.76 | -8.86% | -7.43% | -0.68% | 0.48% | |
| HFRX EH: Short Bias Index › | -7.31% | 337.60 | -15.48% | -23.29% | -11.28% | -8.69% | |
| HFRX EH: Technology/Healthcare Index › | 2.08% | 3644.37 | 7.61% | 11.44% | 11.21% | 8.88% |
Event-Driven
| Index Name | ROR | Index Value | YTD | LAST 12M | LAST 36M | LAST 60M | |
|---|---|---|---|---|---|---|---|
| HFRX Event Driven Index (Flagship Funds) › | 2.74% | 1280.58 | -5.73% | 1.67% | 1.69% | 2.39% | |
| HFRX ED: Activist Index › | 2.26% | 2495.79 | -4.65% | 2.53% | 0.97% | 3.21% | |
| HFRX ED: Credit Arbitrage Index › | 5.83% | 2271.97 | -9.86% | -8.08% | -0.68% | 0.72% | |
| HFRX ED: Distressed Restructuring Index (Flagship Funds) › | 2.73% | 1345.36 | -5.15% | -4.92% | 1.06% | 2.54% | |
| HFRX ED: Merger Arbitrage Index (Flagship Funds) › | 1.57% | 1781.24 | -2.69% | 1.12% | 1.63% | 3.51% | |
| HFRX ED: Multi-Strategy Index › | 2.57% | 2005.62 | -5.46% | -2.71% | -1.71% | 0.86% | |
| HFRX ED: Special Situations Index (Flagship Funds) › | 2.85% | 1209.82 | -6.65% | -2.81% | -3.42% | -0.83% |
Macro
| Index Name | ROR | Index Value | YTD | LAST 12M | LAST 36M | LAST 60M | |
|---|---|---|---|---|---|---|---|
| HFRX Macro/CTA Index (Flagship Funds) › | -0.65% | 1359.41 | 0.50% | 2.59% | 3.13% | 1.63% | |
| HFRX Macro: Active Trading Index › | 0.51% | 1930.72 | -2.05% | -1.72% | 1.57% | 1.60% | |
| HFRX Macro: Commodity Index › | 1.57% | 1403.22 | -0.49% | -2.01% | -0.51% | -0.71% | |
| HFRX Macro: Commodity-Agriculture Index › | 0.68% | 1159.29 | -0.69% | -3.47% | -6.06% | -3.34% | |
| HFRX Macro: Commodity-Energy Index › | -1.80% | 1206.14 | 3.71% | 0.07% | 0.49% | -0.04% | |
| HFRX Macro: Commodity-Metals Index › | 2.62% | 1618.42 | 2.49% | 2.66% | -1.93% | 1.00% | |
| HFRX Macro: Currency Index › | 0.41% | 1054.72 | 0.09% | 1.66% | 0.69% | 0.48% | |
| HFRX Macro: Discretionary Thematic Index › | -0.70% | 2164.79 | 4.65% | 7.10% | 3.38% | 2.82% | |
| HFRX Macro: Multi-Strategy Index › | 0.45% | 1849.80 | 4.16% | 6.21% | 2.55% | 0.61% | |
| HFRX Macro: Systematic Diversified CTA Index (Flagship Funds) › | -1.28% | 1438.41 | -2.09% | 0.22% | 3.70% | 1.73% |
Relative Value
| Index Name | ROR | Index Value | YTD | LAST 12M | LAST 36M | LAST 60M | |
|---|---|---|---|---|---|---|---|
| HFRX Relative Value Index (Flagship Funds) › | 1.66% | 1599.88 | -4.03% | -1.99% | 2.44% | 1.97% | |
| HFRX RV: Energy Infrastructure Index › | -1.91% | 1907.79 | -28.44% | -28.40% | -7.40% | -8.20% | |
| HFRX RV: FI-Asset Backed Index › | 3.43% | 3353.26 | -23.96% | -21.44% | -4.19% | -0.31% | |
| HFRX RV: FI-Convertible Arbitrage Index (Flagship Funds) › | 2.96% | 1869.94 | 4.92% | 7.65% | 5.42% | 4.91% | |
| HFRX RV: FI-Corporate Index › | 2.84% | 1855.20 | -3.42% | -1.38% | 1.90% | 3.15% | |
| HFRX RV: FI-Sovereign Index › | 1.06% | 1873.79 | 3.52% | 7.33% | 5.23% | 6.05% | |
| HFRX RV: Real Estate Index › | 1.12% | 1464.59 | -11.94% | -6.99% | 1.82% | 2.07% | |
| HFRX RV: Multi-Strategy Index (Flagship Funds) › | 0.92% | 1427.77 | -1.46% | 0.10% | 3.41% | 1.53% | |
| HFRX RV: Volatility Index › | 1.71% | 1947.41 | 0.45% | 6.99% | 1.63% | 3.87% | |
| HFRX RV: Yield Alternative Index › | -0.68% | 1888.97 | -19.86% | -17.60% | -2.54% | -2.78% |
Americas
| Index Name | ROR | Index Value | YTD | LAST 12M | LAST 36M | LAST 60M | |
|---|---|---|---|---|---|---|---|
| HFRX Latin America Index › | 7.78% | 1808.12 | -24.68% | -23.15% | -4.33% | 0.73% | |
| HFRX North America Index › | 0.44% | 1280.02 | -5.77% | -3.65% | -2.56% | -2.49% |
Asia
| Index Name | ROR | Index Value | YTD | LAST 12M | LAST 36M | LAST 60M | |
|---|---|---|---|---|---|---|---|
| HFRX Asia Composite Hedge Fund Index › | 1.43% | 2400.27 | -2.03% | 4.36% | 1.02% | 1.28% | |
| HFRX Asia Equally Weighted Index › | 1.46% | 2509.12 | -1.67% | 5.30% | 1.42% | 1.68% | |
| HFRX Asia ex-Japan Index › | 1.60% | 2526.18 | -2.88% | 2.32% | -0.11% | 0.23% | |
| HFRX Asia with Japan Index › | 0.37% | 2587.25 | -0.83% | 2.62% | 0.80% | 0.85% | |
| HFRX Japan Index › | 2.36% | 2203.12 | -1.69% | 10.57% | 3.20% | 3.59% |
Europe
| Index Name | ROR | Index Value | YTD | LAST 12M | LAST 36M | LAST 60M | |
|---|---|---|---|---|---|---|---|
| HFRX Northern Europe Index › | 2.44% | 2047.41 | -3.13% | -1.50% | 1.51% | 2.94% | |
| HFRX Russia/Eastern Europe Index › | 2.04% | 1541.71 | -14.22% | -12.15% | 2.38% | 3.22% | |
| HFRX Western/Pan Europe Index › | 1.87% | 2466.04 | -8.78% | -2.60% | 3.28% | 3.71% |
Emerging Markets
| Index Name | ROR | Index Value | YTD | LAST 12M | LAST 36M | LAST 60M | |
|---|---|---|---|---|---|---|---|
| HFRX Asia ex-Japan Index › | 1.60% | 2526.18 | -2.88% | 2.32% | -0.11% | 0.23% | |
| HFRX Brazil Index › | 8.07% | 1589.84 | -15.71% | -9.06% | 4.17% | 5.17% | |
| HFRX BRIC Index › | 5.61% | 2976.08 | -10.32% | -6.51% | 0.51% | 3.54% | |
| HFRX China Index › | 2.60% | 4373.47 | 4.80% | 12.39% | 4.68% | 3.11% | |
| HFRX India Index › | 9.55% | 2648.52 | -17.98% | -19.21% | -8.32% | 0.26% | |
| HFRX Latin America Index › | 7.78% | 1808.12 | -24.68% | -23.15% | -4.33% | 0.73% | |
| HFRX MENA Index › | 1.52% | 2915.00 | 4.56% | 9.05% | 7.57% | 5.10% | |
| HFRX Multi-Emerging Markets Index › | 2.60% | 2395.73 | 2.91% | 5.95% | 3.93% | 3.68% | |
| HFRX Russia Index › | 2.04% | 1992.71 | -14.22% | -11.31% | -1.22% | 2.79% | |
| HFRX Russia/Eastern Europe Index › | 2.04% | 1541.71 | -14.22% | -12.15% | 2.38% | 3.22% | |
| HFRX Total Emerging Market Index › | 2.61% | 2222.62 | -6.95% | -2.95% | 2.32% | 3.35% |
HFRX Indices (ESG)
| Index Name | ROR | Index Value | YTD | LAST 12M | LAST 36M | LAST 60M | |
|---|---|---|---|---|---|---|---|
| HFRX Alternative Energy Index › | 0.95% | 1867.39 | 4.52% | 10.40% | 9.09% | 5.11% | |
| HFRX Diversity Index › | 2.00% | 3394.81 | 2.21% | 5.84% | 5.87% | 4.91% | |
| HFRX Diversity: Women Index › | 6.75% | 1795.52 | 8.97% | 17.73% | 8.04% | 6.63% |
HFRX Indices July 2020 Performance Notes
Global financial markets were mixed in July with gains led by large cap Technology exposures as US interest rates declined to historic lows and despite continuation of the global pandemic quarantine. US gains were led by Technology, Healthcare, Consumer, Energy and commodity sensitive sectors, while European equities declined led by France, UK & Spain; Chinese equities posted strong gains. US interest rates declined on expectations for additional stimulus and slower global economic recovery than had been forecasted. The US Dollar declined as Gold & Metals commodities gained; Energy & Agricultural commodity gains were led by Oil, Coffee, Cattle, Lumber & Wheat. Hedge Funds & Risk Premia strategies posted gains in July with the HFRX Global Hedge Fund Index posting a gain of +1.35% for the period.
HFRX Relative Value Arbitrage Index posted a gain of +2.03% for July from gains in Multi-Strategy and Convertible Arbitrage managers. The HFRX Convertible Arbitrage Index posted a gain of +2.67% for the month as interest rates and volatility declined during the period. The HFRX RV: Multi-Strategy Index posted a gain of +1.97% for the month as interest rates fell to historic lows.
HFRX Macro/CTA Index posted a gain of +1.78% for July from gains in Global Discretionary managers and systematic trend-following strategies. Macro Discretionary managers posted gains from exposure to opportunistic Fixed-Income and Emerging Markets strategies. The HFRX Macro Systematic/CTA Index posted a gain of +1.89% as the US Dollar declined against most currencies, Oil markets gained, and Metals and Agricultural commodities also posted gains.
HFRX Event Driven Index posted a gain of +0.89% for July from gains in Special Situations equity strategies and Merger Arbitrage managers. The HFRX Merger Arbitrage Index posted a gain of +0.94% as M&A global activity continued and spreads on existing deals contracted. The HFRX Special Situations Index posted a gain of +0.89% from exposure to Global and Asian catalyst-driven, fundamental value equities.
HFRX Equity Hedge Index posted a gain of +0.82% for July, from gains in Fundamental Value managers, only partially offset by declines in Fundamental Growth and Market Neutral strategies. The HFRX Fundamental Value Index posted a gain of +1.72% from exposure to large-cap equities in the US and Western Europe. The HFRX Fundamental Growth Index posted a decline of -0.21% from gains from exposure to developed markets which were offset by Emerging Markets equities. The HFRX Market Neutral Index declined -1.77% for the month from declines in mean reverting, factor-based strategies and fundamental managers.
Comments reference performance figures for July 31, 2020