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 | Aug 2018 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Global Hedge Fund Index › | -0.0360% | -0.47% | -1.02% | 1262.64 | 0.45% | -0.55% | 1.54% | 1.69% | |
| HFRX Equal Weighted Strategies Index › | -0.0139% | -0.49% | -1.39% | 1257.92 | 0.38% | -0.91% | 0.55% | 1.91% | |
| HFRX Absolute Return Index › | -0.0052% | -0.56% | 0.80% | 1071.74 | 0.37% | 1.36% | 2.21% | 1.83% | |
| HFRX Aggregate Index › | - | - | - | - | -0.18% | 0.57% | 2.81% | 3.56% | |
| HFRX Market Directional Index › | 0.0558% | -0.89% | -5.67% | 1191.94 | 0.54% | -4.82% | -3.16% | 0.10% |
Equity Hedge
| Index Name | DTD | MTD | YTD | Index Value | Aug 2018 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Equity Hedge Index › | -0.3500% | -1.11% | -0.38% | 1265.97 | -0.23% | 0.74% | 5.36% | 3.07% | |
| HFRX EH: Energy/Basic Materials Index › | - | - | - | - | 1.49% | 7.09% | 10.21% | 7.75% | |
| HFRX EH: Equity Market Neutral Index › | -0.0586% | -1.02% | -0.70% | 997.42 | 0.29% | 0.33% | -0.07% | -0.10% | |
| HFRX EH: Fundamental Growth Index › | -0.1871% | -2.48% | -3.30% | 1712.69 | -0.67% | -0.84% | 7.60% | 3.35% | |
| HFRX EH: Fundamental Value Index › | -0.5016% | 0.08% | 1.87% | 1243.22 | 0.10% | 1.79% | 4.89% | 3.24% | |
| HFRX EH: Multi-Strategy Index › | - | - | - | - | 0.27% | 1.75% | 4.66% | 6.37% | |
| HFRX EH: Quantitative Directional Index › | - | - | - | - | 0.85% | 2.38% | 6.94% | 4.35% | |
| HFRX EH: Short Bias Index › | - | - | - | - | 0.92% | -3.78% | -7.44% | -7.30% | |
| HFRX EH: Technology/Healthcare Index › | - | - | - | - | 1.91% | 11.46% | 13.53% | 9.95% |
Event-Driven
| Index Name | DTD | MTD | YTD | Index Value | Aug 2018 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Event Driven Index › | -0.0674% | 0.43% | -4.63% | 1588.60 | -0.03% | -5.04% | -4.38% | 2.61% | |
| HFRX ED: Activist Index › | - | - | - | - | 2.02% | 12.64% | 14.53% | 10.33% | |
| HFRX ED: Credit Arbitrage Index › | - | - | - | - | 0.33% | 2.53% | 5.15% | 4.27% | |
| HFRX ED: Distressed Restructuring Index › | -0.0452% | 0.10% | -5.67% | 1043.91 | 0.23% | -5.76% | -4.95% | 1.83% | |
| HFRX ED: Merger Arbitrage Index › | -0.0446% | -1.20% | -1.80% | 1819.60 | -0.14% | -0.61% | 0.33% | 3.13% | |
| HFRX ED: Multi-Strategy Index › | - | - | - | - | 0.31% | -1.14% | 0.80% | 3.44% | |
| HFRX ED: Special Situations Index › | -0.0810% | 0.61% | -4.41% | 1323.09 | -0.17% | -4.99% | -4.39% | 2.79% |
Macro
| Index Name | DTD | MTD | YTD | Index Value | Aug 2018 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Macro/CTA Index › | 0.5415% | -1.56% | -2.11% | 1139.30 | 2.41% | -0.56% | 0.98% | -0.67% | |
| HFRX Macro: Active Trading Index › | - | - | - | - | 0.57% | 4.45% | 3.78% | 3.40% | |
| HFRX Macro: Commodity Index › | - | - | - | - | -0.35% | -0.50% | -0.82% | -0.52% | |
| HFRX Macro: Commodity-Agriculture Index › | - | - | - | - | 0.00% | -4.57% | -4.85% | -1.70% | |
| HFRX Macro: Commodity-Energy Index › | - | - | - | - | -0.16% | 16.10% | 13.48% | 3.91% | |
| HFRX Macro: Commodity-Metals Index › | - | - | - | - | 0.40% | -8.88% | -10.69% | 2.65% | |
| HFRX Macro: Currency Index › | - | - | - | - | -0.18% | -0.83% | 0.07% | -0.57% | |
| HFRX Macro: Discretionary Thematic Index › | - | - | - | - | -1.68% | -0.66% | -0.32% | 1.81% | |
| HFRX Macro: Multi-Strategy Index › | - | - | - | - | -1.99% | -1.12% | 1.75% | 0.69% | |
| HFRX Macro: Systematic Diversified CTA Index › | 0.7184% | -1.62% | -3.46% | 1532.62 | 2.67% | -1.87% | 3.21% | 0.52% |
Relative Value
| Index Name | DTD | MTD | YTD | Index Value | Aug 2018 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Relative Value Arbitrage Index › | -0.0651% | 0.14% | 2.61% | 1215.72 | 0.31% | 2.47% | 3.68% | 0.94% | |
| HFRX RV: Energy Infrastructure Index › | - | - | - | - | 0.85% | 6.81% | 8.73% | -1.00% | |
| HFRX RV: FI-Asset Backed Index › | - | - | - | - | 0.61% | 4.27% | 6.18% | 6.25% | |
| HFRX RV: FI-Convertible Arbitrage Index › | 0.0028% | 0.13% | 1.08% | 804.81 | 0.39% | 0.95% | 3.05% | 3.90% | |
| HFRX RV: FI-Corporate Index › | - | - | - | - | -0.20% | 1.06% | 2.43% | 4.95% | |
| HFRX RV: FI-Sovereign Index › | - | - | - | - | -1.55% | -1.29% | 0.99% | 5.65% | |
| HFRX RV: Real Estate Index › | - | - | - | - | 1.39% | 4.03% | 7.19% | 5.04% | |
| HFRX RV: Multi-Strategy Index › | -0.0658% | 0.16% | 2.77% | 1881.56 | 0.29% | 2.61% | 3.74% | 0.59% | |
| HFRX RV: Volatility Index › | - | - | - | - | 1.11% | -0.11% | 0.84% | 5.77% | |
| HFRX RV: Yield Alternative Index › | - | - | - | - | 1.12% | 5.50% | 8.05% | 2.35% |
Americas
| Index Name | DTD | MTD | YTD | Index Value | Aug 2018 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Latin America Index › | - | - | - | - | -5.33% | -8.99% | -5.28% | 6.15% | |
| HFRX North America Index › | -0.2265% | 0.04% | -0.63% | 1397.46 | -0.26% | -0.68% | 0.74% | -0.46% |
Asia
| Index Name | DTD | MTD | YTD | Index Value | Aug 2018 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Asia Composite Hedge Fund Index › | - | - | - | - | -1.46% | -4.20% | 0.96% | 4.22% | |
| HFRX Asia Equally Weighted Index › | - | - | - | - | -1.10% | -3.61% | 1.24% | 4.09% | |
| HFRX Asia ex-Japan Index › | - | - | - | - | -3.06% | -6.98% | 0.16% | 5.68% | |
| HFRX Asia with Japan Index › | - | - | - | - | -0.30% | -1.26% | 0.16% | 1.66% | |
| HFRX Japan Index › | - | - | - | - | 0.05% | -2.61% | 3.23% | 4.74% |
Europe
| Index Name | DTD | MTD | YTD | Index Value | Aug 2018 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Northern Europe Index › | - | - | - | - | -0.05% | 1.75% | 3.84% | 4.63% | |
| HFRX Russia/Eastern Europe Index › | - | - | - | - | -4.51% | -7.10% | -4.26% | 7.13% | |
| HFRX Western/Pan Europe Index › | - | - | - | - | 0.00% | 5.58% | 7.66% | 4.48% |
Other Region
| Index Name | DTD | MTD | YTD | Index Value | Aug 2018 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Multi-Region Index › | -0.0051% | -0.63% | -0.08% | 1364.21 | 0.26% | 0.55% | 3.33% | 1.81% |
Emerging Markets
| Index Name | DTD | MTD | YTD | Index Value | Aug 2018 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Asia ex-Japan Index › | - | - | - | - | -3.06% | -6.98% | 0.16% | 5.68% | |
| HFRX Brazil Index › | - | - | - | - | -7.20% | -15.91% | -14.75% | 7.57% | |
| HFRX BRIC Index › | - | - | - | - | -4.61% | -10.27% | -4.31% | 9.80% | |
| HFRX China Index › | - | - | - | - | -3.92% | -8.40% | 3.97% | 8.77% | |
| HFRX India Index › | - | - | - | - | -0.05% | -8.15% | 0.02% | 12.02% | |
| HFRX Latin America Index › | - | - | - | - | -5.33% | -8.99% | -5.28% | 6.15% | |
| HFRX MENA Index › | - | - | - | - | -0.88% | 4.81% | 7.89% | 5.60% | |
| HFRX Emerging Markets Composite Index › | -0.2396% | -1.88% | -7.10% | 1779.99 | -0.85% | -5.32% | -3.47% | 0.21% | |
| HFRX Multi-Emerging Markets Index › | - | - | - | - | -2.30% | -3.22% | -1.06% | 3.06% | |
| HFRX Russia Index › | - | - | - | - | -7.12% | -10.09% | -7.97% | 8.39% | |
| HFRX Russia/Eastern Europe Index › | - | - | - | - | -4.51% | -7.10% | -4.26% | 7.13% | |
| HFRX Total Emerging Market Index › | - | - | - | - | -3.29% | -5.28% | -2.22% | 5.27% |
FX Hedged
| Index Name | DTD | MTD | YTD | Index Value | Aug 2018 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Equal Weighted Strategies CHF Index › | -0.0313% | -0.71% | -4.02% | 1233.83 | 0.07% | -3.34% | -2.94% | -0.89% | |
| HFRX Equal Weighted Strategies EUR Index › | -0.0225% | -0.68% | -3.63% | 1093.84 | 0.10% | -2.97% | -2.39% | -0.28% | |
| HFRX Equal Weighted Strategies GBP Index › | -0.0161% | -0.61% | -2.91% | 2235.07 | 0.20% | -2.32% | -1.49% | 0.57% | |
| HFRX Equal Weighted Strategies JPY Index › | -0.0146% | -0.65% | -3.00% | 105127.41 | 0.17% | -2.37% | -1.52% | 0.40% | |
| HFRX Global Hedge Fund CAD Index › | -0.0458% | -0.51% | -1.64% | 1246.57 | 0.40% | -1.14% | 0.80% | 1.23% | |
| HFRX Global Hedge Fund CHF Index › | -0.0529% | -0.70% | -4.29% | 1221.93 | 0.14% | -3.62% | -2.61% | -1.33% | |
| HFRX Global Hedge Fund EUR Index › | -0.0444% | -0.67% | -3.36% | 1082.88 | 0.17% | -2.70% | -1.52% | -0.55% | |
| HFRX Global Hedge Fund GBP Index › | -0.0382% | -0.59% | -2.61% | 2235.88 | 0.27% | -2.03% | -0.62% | 0.22% | |
| HFRX Global Hedge Fund JPY Index › | -0.0372% | -0.63% | -2.63% | 106249.99 | 0.24% | -2.02% | -0.54% | 0.22% | |
| HFRX Equity Hedge EUR Index › | -0.3539% | -1.27% | -2.53% | 1115.76 | -0.49% | -1.27% | 2.49% | 0.99% | |
| HFRX Event Driven EUR Index › | -0.0731% | 0.24% | -6.63% | 1406.42 | -0.28% | -6.86% | -6.94% | 0.56% | |
| HFRX Macro/CTA EUR Index › | 0.5316% | -1.74% | -4.28% | 1028.06 | 2.17% | -2.58% | -1.82% | -2.69% | |
| HFRX Relative Value Arbitrage EUR Index › | -0.0708% | -0.05% | 0.58% | 1078.36 | 0.06% | 0.63% | 1.05% | -1.02% |
Thematic
| Index Name | DTD | MTD | YTD | Index Value | Aug 2018 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Fixed Income - Credit Index › | -0.0124% | 0.04% | 0.44% | 2058.31 | 0.38% | 0.40% | 1.35% | 1.59% | |
| HFRX Alternative Energy Index › | - | - | - | - | 0.32% | 9.67% | 15.76% | 6.94% | |
| HFRX Diversity Index › | - | - | - | - | -0.09% | 3.45% | 6.26% | 5.15% | |
| HFRX Diversity: Women Index › | - | - | - | - | -0.40% | 3.56% | 6.26% | 7.10% |
HFRX Indices Mid-September 2018 Performance Notes
Global markets were mixed through mid-September as US economic indicators remained strong amidst continued trade war tensions. US equities were led by Goods & Services, while Biotech and Semiconductors experienced declines. European equity markets were mixed with leadership of Italy and Russia, and declines in the UK and Germany. Emerging Asia markets also dropped, while Latin American equities rose during the period. US Treasury yields increased across all maturities, as did for European bonds. The US Dollar rose against the Japanese Yen but fell against the British Pound Sterling, the Euro and the Swiss Franc. Energy Commodities, Hogs, Cattle, Platinum & Copper gained for the period, while most Agriculturals, Aluminum & Silver experienced losses. Hedge funds posted mixed performance through mid-September, with the HFRX Global Hedge Fund Index declining -0.54%.
HFRX Event Driven Index posted a gain of +0.22% through mid-September with gains from Special Situations equity and Distressed strategies which were partially offset by declines in Merger Arbitrage managers. The HFRX Special Situations Index gained +0.32% from core positioning in Obsidian Energy, Marriot, Viad, Fiat Chrysler, Dell and Tower Semiconductor. The HFRX Distressed Index posted a gain of +0.04% for the period from exposure to the Energy, Consumer and Technology sectors. The HFRX Merger Arbitrage Index posted a decline of -0.88% through mid-month with core exposures to the Marathon Petroleum/Andeavor, KKR/Envision Healthcare, PepsiCo/SodaStream, and Conagra/Pinnacle Foods transactions.
HFRX Relative Value Arbitrage Index posted a modest gain of +0.03% through mid-September from mixed performance in Convertible Arbitrage and Fixed Income strategies. The HFRX RV: Multi-Strategy Index posted a gain of +0.07% through mid-month from gains in MBS strategies and mixed performance of Global Credit managers. The HFRX Convertible Arbitrage Index declined -0.08% through mid-September as yields increased for the period while volatility decreased modestly.
HFRX Macro/CTA Index posted a decline of -1.47% through mid-September from declines in systematic trend-following managers and Emerging Markets strategies. The HFRX Macro Systematic Index declined -1.56% through mid-month as the US Dollar fell against the British Pound Sterling, Euro and Swiss Franc while rising against the Japanese Yen. Crude Oil, Copper & Platinum and Hogs posted gains, while Aluminum, Silver, Lumber and most Agricultural commodities declined for the period.
HFRX Equity Hedge Index posted a decline of -1.14% through mid-September from declines in Fundamental and Market Neutral strategies managers. The HFRX Fundamental Value Index posted a gain of +0.03% from exposure to large-cap Technology and Communications sectors. The HFRX Market Neutral Index declined -0.87% from mixed performance in mean reverting, factor based strategies and fundamental managers. The HFRX Fundamental Growth Index also declined for the period from exposure to Industrials, Technology and Emerging Asia.
Comments reference performance figures for September 19, 2018