HFRX® Indices Performance Tables

The HFRX^® Indices are published daily and 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.

Investable

HFRX Indices Mid-March 2020 Performance Notes

Financial markets posted steep losses through mid-March as volatility soared as a result of the coronavirus contagion. Global equities posted steep losses with many indices falling into bear market by eclipsing 20% corrections. Interest rates plunged to record lows on panic flight to quality, as global central banks cut rates and engaged largest QE since 2008. Energy commodity prices also posted steep declines as a result of weakening demand as well as output dispute among OPEC members. Currencies saw implied volatilities soar, with flight to quality driving gains in the US Dollar against the British Pound and most Emerging Markets currencies but falling through mid-month against the Swiss Franc and Euro. Hedge Funds posted declines, partially offset by gains in systematic quantitative macro strategies, with the HFRX Global Hedge Fund Index declining -4.51% for the period.

HFRX Macro Systematic/CTA Index posted a gain of +0.58% through mid-March
HFRX Macro/CTA Index posted a decline of -0.89% MTD
HFRX Relative Value Arbitrage Index declined -3.34% through mid-month
HFRX Event Driven Index posted a decline of -3.64% through mid-March
HFRX Equity Hedge Index declined -9.00% MTD

Comments reference performance figures as of March 13, 2020

Global

Index Name	DTD	MTD	YTD	Index Value	Feb 2020	YTD	LAST 12M	LAST 36M
HFRX Global Hedge Fund Index ›	0.0534%	-5.88%	-6.85%	1203.85	-1.44%	-1.03%	4.60%	1.50%
HFRX Equal Weighted Strategies Index ›	-0.0067%	-6.19%	-7.07%	1181.81	-1.06%	-0.94%	2.88%	0.67%
HFRX Absolute Return Index ›	0.0275%	-5.52%	-5.80%	1040.20	-0.30%	-0.30%	2.90%	2.16%
HFRX Aggregate Index ›	-	-	-	-	-1.89%	-1.65%	3.22%	2.19%
HFRX Market Directional Index ›	-0.4028%	-7.29%	-10.39%	1057.38	-3.46%	-3.35%	1.33%	-3.30%

Equity Hedge

Index Name	DTD	MTD	YTD	Index Value	Feb 2020	YTD	LAST 12M	LAST 36M
HFRX Equity Hedge Index ›	-0.0553%	-9.58%	-13.33%	1104.55	-3.83%	-4.14%	0.95%	1.19%
HFRX EH: Energy/Basic Materials Index ›	-	-	-	-	-0.45%	-0.16%	3.14%	3.00%
HFRX EH: Equity Market Neutral Index ›	-0.0212%	-5.93%	-7.80%	880.07	-0.45%	-1.98%	-2.55%	-2.03%
HFRX EH: Fundamental Growth Index ›	0.5178%	-21.31%	-25.66%	1258.92	-4.64%	-5.53%	1.06%	1.26%
HFRX EH: Fundamental Value Index ›	-0.2926%	-3.96%	-7.47%	1207.81	-3.83%	-3.66%	2.25%	2.69%
HFRX EH: Multi-Strategy Index ›	-	-	-	-	-3.48%	-3.90%	2.72%	1.81%
HFRX EH: Quantitative Directional Index ›	-	-	-	-	-7.69%	-8.05%	-4.16%	-0.59%
HFRX EH: Short Bias Index ›	-	-	-	-	8.02%	9.17%	-2.88%	-4.70%
HFRX EH: Technology/Healthcare Index ›	-	-	-	-	0.85%	3.31%	11.31%	10.37%

Event-Driven

Index Name	DTD	MTD	YTD	Index Value	Feb 2020	YTD	LAST 12M	LAST 36M
HFRX Event Driven Index ›	-0.0938%	-5.48%	-5.51%	1528.71	-0.53%	-0.03%	7.41%	0.25%
HFRX ED: Activist Index ›	-	-	-	-	-7.25%	-7.62%	-2.82%	0.97%
HFRX ED: Credit Arbitrage Index ›	-	-	-	-	-1.37%	-0.56%	2.72%	2.82%
HFRX ED: Distressed Restructuring Index ›	-	-	-	-	-0.54%	0.08%	1.36%	-1.84%
HFRX ED: Merger Arbitrage Index ›	-0.3329%	-7.16%	-7.47%	1685.75	-0.50%	-0.33%	1.97%	0.14%
HFRX ED: Multi-Strategy Index ›	-	-	-	-	-1.44%	-2.61%	1.15%	-0.24%
HFRX ED: Special Situations Index ›	-0.0797%	-5.36%	-5.36%	1240.21	-0.53%	0.00%	6.27%	-0.24%

Macro

Index Name	DTD	MTD	YTD	Index Value	Feb 2020	YTD	LAST 12M	LAST 36M
HFRX Macro/CTA Index ›	0.1485%	-0.81%	-1.18%	1166.67	-1.19%	-0.37%	5.68%	1.11%
HFRX Macro: Active Trading Index ›	-	-	-	-	-1.47%	-1.99%	0.77%	1.77%
HFRX Macro: Commodity Index ›	-	-	-	-	-0.36%	-0.13%	-2.24%	-0.69%
HFRX Macro: Commodity-Agriculture Index ›	-	-	-	-	-0.02%	-0.44%	-4.43%	-5.46%
HFRX Macro: Commodity-Energy Index ›	-	-	-	-	1.93%	6.50%	-1.41%	0.66%
HFRX Macro: Commodity-Metals Index ›	-	-	-	-	-4.59%	-4.13%	-4.41%	-5.00%
HFRX Macro: Currency Index ›	-	-	-	-	1.56%	2.63%	4.91%	1.58%
HFRX Macro: Discretionary Thematic Index ›	-	-	-	-	-4.46%	-4.27%	-1.24%	0.87%
HFRX Macro: Multi-Strategy Index ›	-	-	-	-	1.03%	1.98%	8.90%	2.01%
HFRX Macro: Systematic Diversified CTA Index ›	-0.0671%	1.11%	0.78%	1611.65	-1.11%	-0.33%	8.61%	1.52%

Relative Value

Index Name	DTD	MTD	YTD	Index Value	Feb 2020	YTD	LAST 12M	LAST 36M
HFRX Relative Value Arbitrage Index ›	0.2312%	-6.07%	-5.44%	1179.86	-0.01%	0.67%	4.37%	2.81%
HFRX RV: Energy Infrastructure Index ›	-	-	-	-	-8.40%	-10.62%	-8.19%	-3.06%
HFRX RV: FI-Asset Backed Index ›	-	-	-	-	0.44%	1.13%	7.19%	6.67%
HFRX RV: FI-Convertible Arbitrage Index ›	0.0122%	-6.22%	-5.75%	783.37	-0.21%	0.51%	3.75%	3.20%
HFRX RV: FI-Corporate Index ›	-	-	-	-	-0.86%	-0.23%	4.57%	3.76%
HFRX RV: FI-Sovereign Index ›	-	-	-	-	0.50%	1.46%	7.95%	5.04%
HFRX RV: Real Estate Index ›	-	-	-	-	-4.89%	-3.81%	7.87%	5.11%
HFRX RV: Multi-Strategy Index ›	0.2499%	-6.06%	-5.42%	1817.59	0.01%	0.68%	4.00%	2.72%
HFRX RV: Volatility Index ›	-	-	-	-	-6.13%	-6.73%	1.28%	-0.10%
HFRX RV: Yield Alternative Index ›	-	-	-	-	-4.70%	-6.04%	0.87%	1.48%

Americas

Index Name	DTD	MTD	YTD	Index Value		Feb 2020	YTD	LAST 12M	LAST 36M
HFRX Latin America Index ›	-	-	-	-		-9.44%	-10.49%	-3.04%	1.47%
HFRX North America Index ›	-	-	-	-		-2.96%	-2.18%	0.12%	-0.98%

Asia

Index Name	DTD	MTD	YTD	Index Value	Feb 2020	YTD	LAST 12M	LAST 36M
HFRX Asia Composite Hedge Fund Index ›	-	-	-	-	-0.34%	-1.39%	5.34%	1.93%
HFRX Asia Equally Weighted Index ›	-	-	-	-	-0.85%	-1.50%	5.64%	2.20%
HFRX Asia ex-Japan Index ›	-	-	-	-	1.13%	-1.53%	4.70%	1.14%
HFRX Asia with Japan Index ›	-	-	-	-	1.58%	2.35%	5.75%	1.97%
HFRX Japan Index ›	-	-	-	-	-5.22%	-5.33%	6.03%	3.17%

Europe

Index Name	DTD	MTD	YTD	Index Value	Feb 2020	YTD	LAST 12M	LAST 36M
HFRX Northern Europe Index ›	-	-	-	-	-1.36%	-1.59%	2.62%	2.87%
HFRX Russia/Eastern Europe Index ›	-	-	-	-	-6.69%	-6.10%	5.15%	5.04%
HFRX Western/Pan Europe Index ›	-	-	-	-	-2.72%	-2.04%	7.98%	6.50%

Other Region

Index Name	DTD	MTD	YTD	Index Value		Feb 2020	YTD	LAST 12M	LAST 36M
HFRX Multi-Region Index ›	0.1239%	-6.24%	-5.68%	1316.21		0.00%	0.60%	6.03%	2.33%

Emerging Markets

Index Name	DTD	MTD	YTD	Index Value	Feb 2020	YTD	LAST 12M	LAST 36M
HFRX Asia ex-Japan Index ›	-	-	-	-	1.13%	-1.53%	4.70%	1.14%
HFRX Brazil Index ›	-	-	-	-	-8.39%	-8.88%	3.09%	4.96%
HFRX BRIC Index ›	-	-	-	-	-4.67%	-4.35%	5.78%	4.08%
HFRX China Index ›	-	-	-	-	2.44%	0.52%	9.25%	6.19%
HFRX India Index ›	-	-	-	-	-5.89%	-2.95%	5.92%	1.26%
HFRX Latin America Index ›	-	-	-	-	-9.44%	-10.49%	-3.04%	1.47%
HFRX MENA Index ›	-	-	-	-	-0.19%	0.16%	9.02%	7.74%
HFRX Emerging Markets Composite Index ›	0.4679%	-17.27%	-20.90%	1429.85	-3.83%	-4.40%	-0.87%	-1.20%
HFRX Multi-Emerging Markets Index ›	-	-	-	-	-0.65%	-0.01%	4.61%	3.30%
HFRX Russia Index ›	-	-	-	-	-6.69%	-6.10%	4.77%	1.62%
HFRX Russia/Eastern Europe Index ›	-	-	-	-	-6.69%	-6.10%	5.15%	5.04%
HFRX Total Emerging Market Index ›	-	-	-	-	-3.33%	-3.57%	5.51%	3.69%

FX Hedged

Index Name	DTD	MTD	YTD	Index Value	Feb 2020	YTD	LAST 12M	LAST 36M
HFRX Equal Weighted Strategies CHF Index ›	0.0763%	-6.34%	-7.61%	1110.00	-1.26%	-1.36%	0.29%	-2.40%
HFRX Equal Weighted Strategies EUR Index ›	0.0702%	-6.34%	-7.60%	987.61	-1.25%	-1.34%	0.51%	-2.02%
HFRX Equal Weighted Strategies GBP Index ›	0.1179%	-6.54%	-7.63%	2044.58	-1.18%	-1.17%	1.60%	-1.08%
HFRX Equal Weighted Strategies JPY Index ›	0.1294%	-6.22%	-7.31%	96058.40	-1.17%	-1.17%	1.28%	-1.25%
HFRX Global Hedge Fund CAD Index ›	0.2159%	-6.31%	-7.25%	1166.52	-1.44%	-1.01%	3.70%	0.66%
HFRX Global Hedge Fund CHF Index ›	0.1646%	-6.46%	-8.18%	1076.52	-1.76%	-1.84%	-0.79%	-2.82%
HFRX Global Hedge Fund EUR Index ›	0.1664%	-6.44%	-8.15%	958.85	-1.75%	-1.82%	-0.51%	-2.23%
HFRX Global Hedge Fund GBP Index ›	0.2430%	-6.71%	-8.26%	2010.25	-1.70%	-1.66%	0.78%	-1.19%
HFRX Global Hedge Fund JPY Index ›	0.2838%	-5.98%	-7.16%	97399.68	-1.53%	-1.25%	1.95%	-0.79%
HFRX Equity Hedge EUR Index ›	0.1931%	-9.69%	-13.78%	939.91	-4.02%	-4.53%	-1.03%	-1.25%
HFRX Macro/CTA EUR Index ›	0.3508%	-1.15%	-1.92%	1012.75	-1.38%	-0.78%	3.35%	-1.39%
HFRX Event Driven EUR Index ›	-0.1268%	-5.56%	-5.96%	1302.38	-0.72%	-0.42%	4.95%	-2.29%
HFRX Relative Value Arbitrage EUR Index ›	0.5048%	-6.45%	-6.19%	1006.92	-0.20%	0.27%	2.14%	0.36%

Thematic

Index Name	DTD	MTD	YTD	Index Value	Feb 2020	YTD	LAST 12M	LAST 36M
HFRX Fixed Income - Credit Index ›	0.2788%	-6.60%	-6.39%	1985.79	-0.35%	0.22%	3.88%	2.07%
HFRX Alternative Energy Index ›	-	-	-	-	4.05%	5.27%	13.92%	9.29%
HFRX Diversity Index ›	-	-	-	-	-1.75%	-3.68%	3.27%	4.93%
HFRX Diversity: Women Index ›	-	-	-	-	0.31%	-2.46%	4.67%	5.98%

HFRX® Indices Performance Tables

The HFRX^® Indices are published daily and 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.

HFRX Indices Mid-March 2020 Performance Notes

Global

Equity Hedge

Event-Driven

Macro

Relative Value

Americas

Asia

Europe

Other Region

Emerging Markets

FX Hedged

Thematic

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HFRX® Indices Performance Tables

The HFRX® Indices are published daily and 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.

HFRX Indices Mid-March 2020 Performance Notes

Global

Equity Hedge

Event-Driven

Macro

Relative Value

Americas

Asia

Europe

Other Region

Emerging Markets

FX Hedged

Thematic

The HFRX^® Indices are published daily and 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.