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 2019 | Jul 2019 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|---|
| HFRX Global Hedge Fund Index › | 0.0671% | 0.12% | 5.55% | 1255.92 | 0.38% | 0.77% | 5.43% | -1.12% | 1.97% | |
| HFRX Equal Weighted Strategies Index › | 0.0599% | 0.23% | 3.14% | 1245.28 | 0.11% | 0.57% | 2.90% | -1.72% | 1.23% | |
| HFRX Absolute Return Index › | 0.0517% | 0.34% | 2.68% | 1086.39 | 0.44% | 0.23% | 2.33% | 0.46% | 1.72% | |
| HFRX Aggregate Index › | - | - | - | - | - | 0.62% | 5.87% | 0.67% | 3.22% | |
| HFRX Market Directional Index › | 0.1470% | 0.02% | 4.53% | 1155.22 | 0.50% | 1.68% | 4.51% | -3.97% | -0.69% |
Equity Hedge
| Index Name | DTD | MTD | YTD | Index Value | Aug 2019 | Jul 2019 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|---|
| HFRX Equity Hedge Index › | 0.1830% | 0.86% | 7.84% | 1241.39 | -0.17% | 1.07% | 6.92% | -3.85% | 2.92% | |
| HFRX EH: Energy/Basic Materials Index › | - | - | - | - | - | -0.26% | 3.31% | -6.02% | 2.95% | |
| HFRX EH: Equity Market Neutral Index › | 0.0893% | 0.80% | -2.09% | 952.37 | -1.12% | -0.71% | -2.87% | -6.25% | -1.75% | |
| HFRX EH: Fundamental Growth Index › | 0.2266% | 0.67% | 9.65% | 1664.68 | -0.39% | 2.08% | 8.91% | -5.85% | 3.62% | |
| HFRX EH: Fundamental Value Index › | 0.1711% | 0.99% | 10.10% | 1262.29 | 0.08% | 0.74% | 9.03% | 0.63% | 4.24% | |
| HFRX EH: Multi-Strategy Index › | - | - | - | - | - | 1.40% | 6.78% | -1.17% | 4.09% | |
| HFRX EH: Quantitative Directional Index › | - | - | - | - | - | 0.48% | 7.81% | -1.10% | 2.08% | |
| HFRX EH: Short Bias Index › | - | - | - | - | - | -0.11% | -13.91% | -0.12% | -7.66% | |
| HFRX EH: Technology/Healthcare Index › | - | - | - | - | - | 1.42% | 15.09% | 7.73% | 10.69% |
Event-Driven
| Index Name | DTD | MTD | YTD | Index Value | Aug 2019 | Jul 2019 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|---|
| HFRX Event Driven Index › | 0.0347% | 0.59% | 3.80% | 1527.10 | 0.51% | 0.16% | 3.18% | -4.03% | 0.21% | |
| HFRX ED: Activist Index › | - | - | - | - | - | 0.03% | 7.46% | -9.84% | 3.94% | |
| HFRX ED: Credit Arbitrage Index › | - | - | - | - | - | 0.60% | 3.35% | 1.34% | 5.38% | |
| HFRX ED: Distressed Restructuring Index › | - | - | - | - | - | 0.47% | 4.07% | 0.17% | 1.45% | |
| HFRX ED: Merger Arbitrage Index › | 0.0444% | 0.54% | -1.38% | 1792.66 | 0.14% | 0.34% | -1.90% | -3.18% | -0.02% | |
| HFRX ED: Multi-Strategy Index › | - | - | - | - | - | 0.63% | 2.34% | -3.24% | 3.07% | |
| HFRX ED: Special Situations Index › | 0.0341% | 0.59% | 2.58% | 1234.09 | 0.53% | 0.16% | 1.98% | -6.71% | -0.49% |
Macro
| Index Name | DTD | MTD | YTD | Index Value | Aug 2019 | Jul 2019 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|---|
| HFRX Macro/CTA Index › | -0.0502% | -1.90% | 4.19% | 1173.26 | 1.67% | 1.83% | 6.20% | 3.33% | 1.09% | |
| HFRX Macro: Active Trading Index › | - | - | - | - | - | 0.05% | 4.30% | 1.87% | 2.25% | |
| HFRX Macro: Commodity Index › | - | - | - | - | - | -1.06% | -0.49% | 0.48% | -1.62% | |
| HFRX Macro: Commodity-Agriculture Index › | - | - | - | - | - | -1.25% | -6.74% | -10.30% | -5.69% | |
| HFRX Macro: Commodity-Energy Index › | - | - | - | - | - | -1.19% | -1.97% | -10.49% | 0.79% | |
| HFRX Macro: Commodity-Metals Index › | - | - | - | - | - | -0.07% | 2.10% | 0.32% | -5.78% | |
| HFRX Macro: Currency Index › | - | - | - | - | - | 0.77% | 2.30% | 1.28% | -0.53% | |
| HFRX Macro: Discretionary Thematic Index › | - | - | - | - | - | 0.52% | 4.61% | 1.19% | 2.55% | |
| HFRX Macro: Multi-Strategy Index › | - | - | - | - | - | 0.82% | 9.33% | -3.36% | 0.81% | |
| HFRX Macro: Systematic Diversified CTA Index › | -0.0960% | -3.45% | 6.84% | 1609.97 | 2.82% | 3.12% | 10.65% | 7.03% | 2.15% |
Relative Value
| Index Name | DTD | MTD | YTD | Index Value | Aug 2019 | Jul 2019 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|---|
| HFRX Relative Value Arbitrage Index › | 0.0551% | 0.13% | 4.66% | 1225.51 | -0.02% | 0.33% | 4.52% | 0.81% | 2.96% | |
| HFRX RV: Energy Infrastructure Index › | - | - | - | - | - | -0.62% | 9.86% | 3.81% | 5.09% | |
| HFRX RV: FI-Asset Backed Index › | - | - | - | - | - | 0.60% | 4.64% | 5.29% | 7.36% | |
| HFRX RV: FI-Convertible Arbitrage Index › | 0.0571% | 0.63% | 3.73% | 817.01 | -0.36% | 0.78% | 3.07% | 1.01% | 3.31% | |
| HFRX RV: FI-Corporate Index › | - | - | - | - | - | 0.53% | 7.71% | 3.43% | 5.18% | |
| HFRX RV: FI-Sovereign Index › | - | - | - | - | - | 1.21% | 7.57% | 5.51% | 5.18% | |
| HFRX RV: Real Estate Index › | - | - | - | - | - | 0.55% | 15.97% | 6.90% | 4.21% | |
| HFRX RV: Multi-Strategy Index › | 0.0549% | 0.09% | 4.34% | 1887.36 | 0.01% | 0.29% | 4.24% | 0.37% | 2.80% | |
| HFRX RV: Volatility Index › | - | - | - | - | - | 0.12% | 7.43% | -2.67% | 1.12% | |
| HFRX RV: Yield Alternative Index › | - | - | - | - | - | -0.03% | 12.89% | 5.38% | 4.77% |
Americas
| Index Name | DTD | MTD | YTD | Index Value | Jul 2019 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Latin America Index › | - | - | - | - | 1.27% | 14.98% | 11.15% | 7.08% | |
| HFRX North America Index › | - | - | - | - | 0.70% | 2.97% | -4.47% | 0.47% |
Asia
| Index Name | DTD | MTD | YTD | Index Value | Jul 2019 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Asia Composite Hedge Fund Index › | - | - | - | - | 0.43% | 6.50% | -5.10% | 2.22% | |
| HFRX Asia Equally Weighted Index › | - | - | - | - | 0.41% | 5.77% | -4.54% | 2.23% | |
| HFRX Asia ex-Japan Index › | - | - | - | - | 0.55% | 9.94% | -8.19% | 2.64% | |
| HFRX Asia with Japan Index › | - | - | - | - | 0.21% | 4.09% | -1.02% | 1.13% | |
| HFRX Japan Index › | - | - | - | - | 0.48% | 3.18% | -4.72% | 2.59% |
Europe
| Index Name | DTD | MTD | YTD | Index Value | Jul 2019 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Northern Europe Index › | - | - | - | - | 0.42% | 5.25% | 2.45% | 4.58% | |
| HFRX Russia/Eastern Europe Index › | - | - | - | - | 0.67% | 17.90% | 12.30% | 9.82% | |
| HFRX Western/Pan Europe Index › | - | - | - | - | 0.76% | 5.89% | 5.26% | 6.44% |
Other Region
| Index Name | DTD | MTD | YTD | Index Value | Aug 2019 | Jul 2019 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|---|
| HFRX Multi-Region Index › | 0.0640% | 0.42% | 6.35% | 1366.38 | -0.17% | 0.67% | 5.91% | -0.89% | 2.16% |
Emerging Markets
| Index Name | DTD | MTD | YTD | Index Value | Aug 2019 | Jul 2019 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|---|
| HFRX Asia ex-Japan Index › | - | - | - | - | - | 0.55% | 9.94% | -8.19% | 2.64% | |
| HFRX Brazil Index › | - | - | - | - | - | 4.16% | 20.59% | 20.90% | 10.70% | |
| HFRX BRIC Index › | - | - | - | - | - | -0.31% | 11.00% | -0.10% | 7.62% | |
| HFRX China Index › | - | - | - | - | - | 0.41% | 12.67% | -8.09% | 6.68% | |
| HFRX India Index › | - | - | - | - | - | -6.47% | -4.39% | -14.09% | 2.99% | |
| HFRX Latin America Index › | - | - | - | - | - | 1.27% | 14.98% | 11.15% | 7.08% | |
| HFRX MENA Index › | - | - | - | - | - | 2.22% | 11.73% | 5.18% | 8.81% | |
| HFRX Emerging Markets Composite Index › | 0.1889% | 0.44% | 0.88% | 1786.99 | -0.27% | 1.76% | 0.44% | -1.92% | -0.25% | |
| HFRX Multi-Emerging Markets Index › | - | - | - | - | - | 1.25% | 7.79% | 3.34% | 4.63% | |
| HFRX Russia Index › | - | - | - | - | - | 0.65% | 15.57% | 1.49% | 7.57% | |
| HFRX Russia/Eastern Europe Index › | - | - | - | - | - | 0.67% | 17.90% | 12.30% | 9.82% | |
| HFRX Total Emerging Market Index › | - | - | - | - | - | 1.32% | 13.86% | 6.22% | 6.39% |
FX Hedged
| Index Name | DTD | MTD | YTD | Index Value | Aug 2019 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Equal Weighted Strategies CHF Index › | 0.0229% | 0.07% | 1.53% | 1188.37 | -0.16% | 1.46% | -4.44% | -1.77% | |
| HFRX Equal Weighted Strategies EUR Index › | 0.0316% | 0.09% | 1.60% | 1055.74 | -0.15% | 1.52% | -4.23% | -1.35% | |
| HFRX Equal Weighted Strategies GBP Index › | 0.0399% | 0.13% | 2.24% | 2178.37 | -0.06% | 2.10% | -3.26% | -0.47% | |
| HFRX Equal Weighted Strategies JPY Index › | 0.0453% | 0.15% | 2.01% | 102168.66 | -0.09% | 1.86% | -3.59% | -0.63% | |
| HFRX Global Hedge Fund CAD Index › | 0.0651% | 0.11% | 4.43% | 1222.87 | 0.34% | 4.32% | -2.51% | 1.08% | |
| HFRX Global Hedge Fund CHF Index › | 0.0264% | -0.05% | 1.90% | 1158.69 | 0.01% | 1.95% | -5.79% | -1.93% | |
| HFRX Global Hedge Fund EUR Index › | -0.1072% | -0.07% | 2.12% | 1030.65 | 0.02% | 2.19% | -5.40% | -1.29% | |
| HFRX Global Hedge Fund GBP Index › | 0.0429% | 0.03% | 2.98% | 2154.05 | 0.07% | 2.96% | -4.26% | -0.34% | |
| HFRX Global Hedge Fund JPY Index › | 0.0509% | 0.02% | 3.24% | 102630.01 | 0.19% | 3.22% | -4.04% | -0.25% | |
| HFRX Equity Hedge EUR Index › | 0.1514% | 0.71% | 6.65% | 1071.10 | -0.44% | 5.90% | -5.90% | 0.58% | |
| HFRX Macro/CTA EUR Index › | -0.0696% | -2.05% | 2.81% | 1034.87 | 1.43% | 4.96% | 0.98% | -1.30% | |
| HFRX Event Driven EUR Index › | 0.0049% | 0.44% | 2.31% | 1318.67 | 0.26% | 1.86% | -6.42% | -2.16% | |
| HFRX Relative Value Arbitrage EUR Index › | 0.0278% | -0.01% | 3.32% | 1063.57 | -0.28% | 3.34% | -1.40% | 0.66% |
Thematic
| Index Name | DTD | MTD | YTD | Index Value | Aug 2019 | Jul 2019 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|---|
| HFRX Fixed Income - Credit Index › | 0.0653% | 0.58% | 3.69% | 2070.75 | -0.28% | 0.49% | 3.09% | 0.07% | 2.17% | |
| HFRX Alternative Energy Index › | - | - | - | - | - | 0.49% | 12.02% | 1.53% | 7.66% | |
| HFRX Diversity Index › | - | - | - | - | - | -0.15% | 10.25% | 3.86% | 6.02% | |
| HFRX Diversity: Women Index › | - | - | - | - | - | 1.17% | 4.22% | -1.13% | 6.02% |
HFRX Indices August Performance Notes
Global financial markets posted mixed performance in August as equities traded in a volatile range driven by ongoing trade tariff tensions as well as possible Brexit scenarios, while fixed income markets surged on lower US interest rates, expanding the supply of government debt trading at negative nominal yields. US equity markets declined through a volatile trading range, with declines led by Biotech, Energy sensitive and small cap exposures; regional declines were led by the UK and Hong Kong driven by fluid Brexit considerations and social unrest in Hong Kong. Interest rates declined as the US Federal Reserve lowered interest rates to conclude the prior month; Germany issued government bonds at a negative yield while the supply of negatively yielding government bonds swelled to $16 Trillion globally. The US Dollar gained against most commodity currencies on non-US central banks lowering interest rates, through the Dollar fell against the Japanese Yen. Commodities posted mixed performance with declines in Energy led by Oil offset by Metals gains led by Gold, Platinum & Silver; Agricultural declines were led by Corn, Hogs, Sugar & Wheat on tariff negotiations. Hedge Funds posted gains in August with the HFRX Global Hedge Fund Index gaining +0.38%, raising YTD performance of the index to +5.43%.
HFRX Macro/CTA Index posted a gain of +1.67% for August from gains in Systematic trend-following managers and Global Discretionary strategies. The HFRX Macro Systematic/CTA Index posted a gain of +2.82% for month as the US Dollar fell against the Japanese Yen and Swiss Franc but gained against the Euro and Emerging Markets currencies. Oil and Agricultural commodities declined while Gold, Silver and Platinum posted gains.
HFRX Event Driven Index posted a gain of +0.51% for August from gains in Special Situations equity strategies and Merger Arbitrage managers. The HFRX Special Situations Index posted gain of +0.53% from global corporate activity with gains concentrated in Asian exposure. The HFRX Merger Arbitrage Index posted a gain of +0.14% from mixed performance in global deals.
HFRX Relative Value Arbitrage Index posted a narrow decline of -0.02% for August from declines in Convertible Arbitrage strategies managers. The HFRX RV: Multi-Strategy Index was basically unchanged for month from mixed performance in Global Credit strategies. The HFRX Convertible Arbitrage Index declined -0.36% for August as volatility increased while yields declined during the period.
HFRX Equity Hedge Index posted a decline of -0.17% for August from declines in Market Neutral and Fundamental Growth strategies. The HFRX Fundamental Value Index posted a gain of +0.08% from exposure to large-cap equities in developed markets. The HFRX Fundamental Growth Index declined -0.39% for the period from mixed performance in Global small-cap equities and declines in Emerging Markets concentrated in MENA and Eastern European exposure. The HFRX Market Neutral Index posted a decline of -1.12% from declines in mean reverting, factor-based strategies and fundamental managers.
Comments reference performance figures as of August 30, 2019