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.
Global
| Index Name | DTD | MTD | YTD | Index Value | Mar 2018 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Global Hedge Fund Index › | 0.2239% | 1.16% | 0.13% | 1277.27 | -0.98% | -1.02% | 3.20% | 0.51% | |
| HFRX Equal Weighted Strategies Index › | 0.1676% | 0.88% | -0.41% | 1270.46 | -1.14% | -1.27% | 1.94% | 1.24% | |
| HFRX Absolute Return Index › | 0.0382% | 0.63% | 0.93% | 1073.16 | -0.15% | 0.30% | 3.03% | 1.71% | |
| HFRX Aggregate Index › | - | - | - | - | -0.43% | 0.16% | 4.37% | 3.07% | |
| HFRX Market Directional Index › | 0.3470% | 1.51% | -2.36% | 1233.76 | -1.98% | -3.81% | -3.83% | -1.00% |
Equity Hedge
| Index Name | DTD | MTD | YTD | Index Value | Mar 2018 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Equity Hedge Index › | 0.2006% | 1.03% | 2.21% | 1298.91 | -0.69% | 1.17% | 8.35% | 2.10% | |
| HFRX EH: Energy/Basic Materials Index › | - | - | - | - | 0.73% | 0.86% | 7.05% | 4.50% | |
| HFRX EH: Equity Market Neutral Index › | 0.0087% | 0.46% | 1.20% | 1016.49 | -0.16% | 0.74% | 0.96% | 0.29% | |
| HFRX EH: Fundamental Growth Index › | 0.1397% | 0.36% | 2.01% | 1806.74 | 0.94% | 1.64% | 15.41% | 2.70% | |
| HFRX EH: Fundamental Value Index › | 0.2482% | 1.43% | 2.41% | 1249.79 | -1.59% | 0.97% | 5.66% | 1.95% | |
| HFRX EH: Multi-Strategy Index › | - | - | - | - | -0.33% | -1.84% | 3.44% | 5.69% | |
| HFRX EH: Quantitative Directional Index › | - | - | - | - | -0.70% | 0.98% | 6.18% | 4.01% | |
| HFRX EH: Short Bias Index › | - | - | - | - | -0.01% | 0.90% | -5.90% | -4.43% | |
| HFRX EH: Technology/Healthcare Index › | - | - | - | - | 0.44% | 6.19% | 14.93% | 8.11% |
Event-Driven
| Index Name | DTD | MTD | YTD | Index Value | Mar 2018 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Event Driven Index › | 0.2356% | 1.50% | -3.37% | 1609.54 | -2.16% | -4.80% | -1.55% | 1.09% | |
| HFRX ED: Activist Index › | - | - | - | - | 2.26% | 2.32% | 5.43% | 5.73% | |
| HFRX ED: Credit Arbitrage Index › | - | - | - | - | 0.00% | 1.19% | 5.34% | 4.12% | |
| HFRX ED: Distressed Restructuring Index › | 0.0787% | 0.64% | -4.84% | 1053.16 | -5.77% | -5.44% | -4.00% | 1.08% | |
| HFRX ED: Merger Arbitrage Index › | 0.0244% | 0.24% | -0.96% | 1835.29 | 0.04% | -1.20% | 0.91% | 3.64% | |
| HFRX ED: Multi-Strategy Index › | - | - | - | - | -0.91% | -0.52% | 4.22% | 4.15% | |
| HFRX ED: Special Situations Index › | 0.2925% | 1.82% | -2.98% | 1342.91 | -1.02% | -4.72% | -0.80% | 0.96% |
Macro
| Index Name | DTD | MTD | YTD | Index Value | Mar 2018 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Macro/CTA Index › | 0.5125% | 1.56% | -0.49% | 1158.11 | -0.79% | -2.03% | 1.20% | -2.59% | |
| HFRX Macro: Active Trading Index › | - | - | - | - | -0.51% | 2.12% | 3.77% | 1.47% | |
| HFRX Macro: Commodity Index › | - | - | - | - | 1.08% | 1.03% | -0.47% | -1.36% | |
| HFRX Macro: Commodity-Agriculture Index › | - | - | - | - | 1.31% | 0.42% | 1.06% | 0.00% | |
| HFRX Macro: Commodity-Energy Index › | - | - | - | - | 0.23% | 8.03% | -0.30% | 1.01% | |
| HFRX Macro: Commodity-Metals Index › | - | - | - | - | 0.03% | -3.86% | -5.61% | 2.05% | |
| HFRX Macro: Currency Index › | - | - | - | - | -1.17% | -1.00% | -1.42% | -0.66% | |
| HFRX Macro: Discretionary Thematic Index › | - | - | - | - | -0.90% | 0.30% | 2.96% | 2.21% | |
| HFRX Macro: Multi-Strategy Index › | - | - | - | - | -0.75% | 0.62% | 5.32% | 0.11% | |
| HFRX Macro: Systematic Diversified CTA Index › | 0.9032% | 2.13% | -1.14% | 1569.50 | -0.23% | -3.20% | 3.05% | -1.73% |
Relative Value
| Index Name | DTD | MTD | YTD | Index Value | Mar 2018 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Relative Value Arbitrage Index › | 0.0358% | 0.69% | 1.68% | 1204.74 | -0.33% | 0.99% | 3.76% | 0.33% | |
| HFRX RV: Energy Infrastructure Index › | - | - | - | - | -2.70% | -5.41% | -12.98% | -8.14% | |
| HFRX RV: FI-Asset Backed Index › | - | - | - | - | 0.40% | 1.43% | 7.58% | 6.41% | |
| HFRX RV: FI-Convertible Arbitrage Index › | 0.2063% | 0.55% | 0.65% | 801.38 | -0.35% | 0.09% | 4.71% | 3.74% | |
| HFRX RV: FI-Corporate Index › | - | - | - | - | 0.05% | 1.21% | 5.85% | 5.04% | |
| HFRX RV: FI-Sovereign Index › | - | - | - | - | 0.03% | 0.70% | 5.39% | 5.92% | |
| HFRX RV: Real Estate Index › | - | - | - | - | 1.08% | -1.52% | 3.56% | 1.57% | |
| HFRX RV: Multi-Strategy Index › | 0.0234% | 0.58% | 1.90% | 1865.61 | -0.25% | 1.32% | 4.20% | 0.13% | |
| HFRX RV: Volatility Index › | - | - | - | - | -1.54% | -5.44% | -1.91% | 4.17% | |
| HFRX RV: Yield Alternative Index › | - | - | - | - | -0.81% | -3.47% | -4.93% | -3.04% |
Americas
| Index Name | DTD | MTD | YTD | Index Value | Mar 2018 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Latin America Index › | - | - | - | - | -0.73% | 1.70% | 9.09% | 8.42% | |
| HFRX North America Index › | 0.1841% | 1.51% | 0.42% | 1412.33 | -0.71% | -1.06% | 1.19% | -1.40% |
Asia
| Index Name | DTD | MTD | YTD | Index Value | Mar 2018 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Asia Composite Hedge Fund Index › | - | - | - | - | -0.67% | 0.57% | 9.39% | 6.72% | |
| HFRX Asia Equally Weighted Index › | - | - | - | - | -0.68% | 0.34% | 8.82% | 6.43% | |
| HFRX Asia ex-Japan Index › | - | - | - | - | -0.72% | 1.37% | 13.39% | 9.32% | |
| HFRX Asia with Japan Index › | - | - | - | - | -0.27% | 0.76% | 2.94% | 2.69% | |
| HFRX Japan Index › | - | - | - | - | -1.06% | -1.10% | 10.22% | 6.96% |
Europe
| Index Name | DTD | MTD | YTD | Index Value | Mar 2018 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Northern Europe Index › | - | - | - | - | -0.70% | -0.21% | 3.61% | 4.00% | |
| HFRX Russia/Eastern Europe Index › | - | - | - | - | -0.76% | 3.11% | 13.08% | 8.89% | |
| HFRX Western/Pan Europe Index › | - | - | - | - | -0.04% | 2.09% | 6.52% | 4.59% |
Other Region
| Index Name | DTD | MTD | YTD | Index Value | Mar 2018 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Multi-Region Index › | 0.2854% | 0.60% | 0.71% | 1374.98 | -0.89% | 0.11% | 4.55% | 1.15% |
Emerging Markets
| Index Name | DTD | MTD | YTD | Index Value | Mar 2018 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Asia ex-Japan Index › | - | - | - | - | -0.72% | 1.37% | 13.39% | 9.32% | |
| HFRX Brazil Index › | - | - | - | - | -0.69% | 5.96% | 20.70% | 12.09% | |
| HFRX BRIC Index › | - | - | - | - | -1.51% | 1.89% | 19.22% | 12.36% | |
| HFRX China Index › | - | - | - | - | -0.79% | 2.72% | 26.42% | 11.46% | |
| HFRX India Index › | - | - | - | - | -2.47% | -5.09% | 14.07% | 11.27% | |
| HFRX Latin America Index › | - | - | - | - | -0.73% | 1.70% | 9.09% | 8.42% | |
| HFRX MENA Index › | - | - | - | - | 1.10% | 4.24% | 12.71% | 4.48% | |
| HFRX Emerging Markets Composite Index › | 0.1287% | 0.57% | 0.19% | 1919.70 | -0.88% | -0.38% | 5.84% | 0.40% | |
| HFRX Multi-Emerging Markets Index › | - | - | - | - | -0.34% | 0.99% | 6.73% | 4.82% | |
| HFRX Russia Index › | - | - | - | - | -2.16% | 3.98% | 13.71% | 12.20% | |
| HFRX Russia/Eastern Europe Index › | - | - | - | - | -0.76% | 3.11% | 13.08% | 8.89% | |
| HFRX Total Emerging Market Index › | - | - | - | - | -0.25% | 1.74% | 8.86% | 8.13% |
FX Hedged
| Index Name | DTD | MTD | YTD | Index Value | Mar 2018 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Equal Weighted Strategies CHF Index › | 0.1579% | 0.69% | -1.53% | 1265.91 | -1.51% | -2.20% | -1.19% | -1.29% | |
| HFRX Equal Weighted Strategies EUR Index › | 0.1595% | 0.72% | -1.34% | 1119.85 | -1.40% | -2.05% | -0.69% | -0.61% | |
| HFRX Equal Weighted Strategies GBP Index › | 0.1628% | 0.79% | -1.05% | 2277.93 | -1.29% | -1.82% | 0.08% | 0.20% | |
| HFRX Equal Weighted Strategies JPY Index › | 0.1632% | 0.78% | -1.00% | 107288.57 | -1.36% | -1.77% | 0.19% | -0.02% | |
| HFRX Global Hedge Fund CAD Index › | 0.2213% | 1.11% | -0.22% | 1264.63 | -1.04% | -1.31% | 2.47% | 0.18% | |
| HFRX Global Hedge Fund CHF Index › | 0.2158% | 0.97% | -1.01% | 1263.81 | -1.35% | -1.96% | 0.03% | -2.02% | |
| HFRX Global Hedge Fund EUR Index › | 0.2157% | 1.00% | -0.85% | 1110.94 | -1.25% | -1.84% | 0.46% | -1.37% | |
| HFRX Global Hedge Fund GBP Index › | 0.2192% | 1.06% | -0.55% | 2283.34 | -1.14% | -1.59% | 1.26% | -0.64% | |
| HFRX Global Hedge Fund JPY Index › | 0.2208% | 1.07% | -0.47% | 108610.40 | -1.21% | -1.53% | 1.42% | -0.72% | |
| HFRX Equity Hedge EUR Index › | 0.1931% | 0.88% | 1.27% | 1159.24 | -0.93% | 0.39% | 5.80% | 0.34% | |
| HFRX Event Driven EUR Index › | 0.2281% | 1.36% | -4.23% | 1442.59 | -2.37% | -5.52% | -3.88% | -0.65% | |
| HFRX Macro/CTA EUR Index › | 0.5051% | 1.42% | -1.48% | 1058.17 | -1.03% | -2.86% | -1.21% | -4.25% | |
| HFRX Relative Value Arbitrage EUR Index › | 0.0286% | 0.55% | 0.88% | 1081.51 | -0.59% | 0.33% | 1.44% | -1.35% |
Thematic
| Index Name | DTD | MTD | YTD | Index Value | Mar 2018 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Fixed Income - Credit Index › | 0.1086% | 0.61% | 0.23% | 2053.95 | -1.48% | -0.39% | 2.27% | 0.90% | |
| HFRX Alternative Energy Index › | - | - | - | - | 0.39% | -0.67% | 4.29% | 1.82% | |
| HFRX Diversity Index › | - | - | - | - | -0.53% | -0.28% | 6.95% | 4.14% | |
| HFRX Diversity: Women Index › | - | - | - | - | -0.48% | 0.67% | 11.09% | 4.67% |
HFRX Indices Mid-April 2018 Performance Notes
Global financial markets gained through mid-April as trade and tariff policy discussions proceeded while geopolitical tensions increased with missile strikes in Syria. Global equity markets gains were led by developed Europe, including Italy, Netherlands, France, Germany & the UK; the US, Japan and India also gained. Interest rates also increased through mid-April, as the US Dollar posted a sharp gain against the Russian Ruble and Brazilian Real, though the Dollar declined against the British Pound and Canadian Dollar. Commodities also gained through mid-month, led by a spike in Aluminum and Live Hogs; Oil, Gold Natural Gas and Wheat also gained. Hedge funds posted gains through mid-April, with the HFRX Market Directional Index and the HFRX Global Hedge Fund Index gaining +0.83% and +0.62%, respectively.
HFRX Event Driven Index posted a gain of +1.00% through mid-April with gains from Special Situations equity strategies and Distressed managers. The HFRX Special Situations Index gained +1.26% through mid-month from core positioning in Aetna, Akorn, Altaba/Yahoo, Time Warner, Alibaba, NXP Semiconductors and Monsanto. The HFRX Distressed Index posted a gain of +0.29% through mid-month from exposure to Industrial and Energy sectors. The HFRX Merger Arbitrage Index was unchanged for the period with core exposures to Akorn/Fresenius, Salesforce/MuleSoft, SS&C Technologies/DST Systems, Tribune Media/Sinclair Broadcast, AXA/XL Group, Albertsons/Rite Aid, Silver Lake & P2 Capital/Blackhawk Network, and Prysmian/General Cable transactions.
HFRX Macro/CTA Index posted a gain of +0.59% through mid-April from gains in systematic trend-following managers and Emerging Markets strategies. The HFRX Macro Systematic Index gained +1.13% through mid-month as global equity markets experienced gains, the US Dollar rose against the Japanese Yen and the Swiss Franc but declined against the Euro and the British Pound Sterling. Energy, Metals and most Agricultural commodities posted gains for the period.
HFRX Equity Hedge Index posted a gain of +0.47% through mid-April with gains in Fundamental Value and market neutral managers which were partially offset by declines from Fundamental Growth strategies. The HFRX Fundamental Value Index gained +0.76% from exposure to large-cap Technology, Industrial and European equities. The HFRX Market Neutral Index posted a gain of +0.63% from mixed performance in mean reverting, factor based strategies and fundamental managers. The HFRX Fundamental Growth Index declined -0.11% for the period from gains in Global Healthcare equities which were offset by mixed performance in Emerging Markets strategies.
HFRX Relative Value Arbitrage Index posted a gain of +0.43% through mid-April from gains in Convertible, Global Credit and Yield Alternatives – Energy Infrastructure managers. The HFRX Convertible Arbitrage Index gained +0.33% through mid-April as yields were little changed and volatility declined during the period. The HFRX RV: Multi-Strategy Index gained +0.31% through mid-month gains in Global Credit managers and MBS strategies.
Comments reference performance figures for April 16, 2018