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.
CORRECTION NOTICE: On June 4 at appx 4pm CT, HFR republished the 2019-05-31 performance figures for the following indices: HFRX Global Hedge Fund Index, HFRX Equal Weighted Strategies Index, HFRX Macro CTA Index and HFRX Macro: Systematic Diversified Index.
Global
| Index Name | DTD | MTD | YTD | Index Value | Jul 2019 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Global Hedge Fund Index › | 0.2154% | -0.05% | 4.97% | 1249.01 | 0.77% | 5.02% | -1.05% | 1.89% | |
| HFRX Equal Weighted Strategies Index › | 0.2120% | -0.21% | 2.57% | 1238.44 | 0.57% | 2.79% | -1.45% | 1.30% | |
| HFRX Absolute Return Index › | 0.1246% | 0.18% | 2.07% | 1080.03 | 0.23% | 1.89% | 0.39% | 1.56% | |
| HFRX Aggregate Index › | - | - | - | - | 0.56% | 5.81% | 0.61% | 3.20% | |
| HFRX Market Directional Index › | 0.2868% | -0.25% | 3.73% | 1146.32 | 1.68% | 3.99% | -3.94% | -0.48% |
Equity Hedge
| Index Name | DTD | MTD | YTD | Index Value | Jul 2019 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Equity Hedge Index › | 0.2603% | -0.65% | 6.41% | 1224.90 | 1.07% | 7.10% | -3.91% | 2.91% | |
| HFRX EH: Energy/Basic Materials Index › | - | - | - | - | 0.14% | 3.72% | -5.64% | 3.09% | |
| HFRX EH: Equity Market Neutral Index › | 0.3610% | -0.66% | -2.42% | 949.16 | -0.71% | -1.77% | -4.92% | -1.52% | |
| HFRX EH: Fundamental Growth Index › | -0.2022% | -0.86% | 8.40% | 1645.82 | 2.08% | 9.34% | -6.12% | 3.02% | |
| HFRX EH: Fundamental Value Index › | 0.5018% | -0.53% | 8.37% | 1242.40 | 0.74% | 8.94% | 0.65% | 4.45% | |
| HFRX EH: Multi-Strategy Index › | - | - | - | - | 1.07% | 6.44% | -1.49% | 3.98% | |
| HFRX EH: Quantitative Directional Index › | - | - | - | - | 0.36% | 7.68% | -1.22% | 2.04% | |
| HFRX EH: Short Bias Index › | - | - | - | - | 0.95% | -13.00% | 0.95% | -7.33% | |
| HFRX EH: Technology/Healthcare Index › | - | - | - | - | 0.65% | 14.22% | 6.91% | 10.41% |
Event-Driven
| Index Name | DTD | MTD | YTD | Index Value | Jul 2019 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Event Driven Index › | 0.4510% | 0.34% | 3.01% | 1515.58 | 0.16% | 2.66% | -4.54% | 0.49% | |
| HFRX ED: Activist Index › | - | - | - | - | -0.03% | 7.40% | -9.89% | 3.92% | |
| HFRX ED: Credit Arbitrage Index › | - | - | - | - | 0.82% | 3.58% | 1.57% | 5.46% | |
| HFRX ED: Distressed Restructuring Index › | - | - | - | - | 0.57% | 4.17% | 0.26% | 1.48% | |
| HFRX ED: Merger Arbitrage Index › | 0.1336% | -0.05% | -2.08% | 1779.79 | 0.34% | -2.04% | -3.45% | -0.07% | |
| HFRX ED: Multi-Strategy Index › | - | - | - | - | 0.30% | 2.00% | -3.56% | 2.96% | |
| HFRX ED: Special Situations Index › | 0.4683% | 0.36% | 1.81% | 1224.83 | 0.16% | 1.45% | -7.36% | -0.25% |
Macro
| Index Name | DTD | MTD | YTD | Index Value | Jul 2019 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Macro/CTA Index › | 0.0545% | 0.68% | 5.17% | 1184.27 | 1.83% | 4.46% | 4.08% | 0.20% | |
| HFRX Macro: Active Trading Index › | - | - | - | - | 0.42% | 4.68% | 2.24% | 2.37% | |
| HFRX Macro: Commodity Index › | - | - | - | - | -0.81% | -0.24% | 0.73% | -1.53% | |
| HFRX Macro: Commodity-Agriculture Index › | - | - | - | - | -0.64% | -6.16% | -9.74% | -5.50% | |
| HFRX Macro: Commodity-Energy Index › | - | - | - | - | 1.40% | 0.61% | -8.14% | 1.67% | |
| HFRX Macro: Commodity-Metals Index › | - | - | - | - | -2.23% | -0.11% | -1.85% | -6.46% | |
| HFRX Macro: Currency Index › | - | - | - | - | 0.58% | 2.11% | 1.09% | -0.59% | |
| HFRX Macro: Discretionary Thematic Index › | - | - | - | - | -0.56% | 3.49% | 0.11% | 2.19% | |
| HFRX Macro: Multi-Strategy Index › | - | - | - | - | 0.77% | 9.27% | -3.40% | 0.79% | |
| HFRX Macro: Systematic Diversified CTA Index › | -0.0710% | 1.33% | 9.05% | 1643.27 | 3.12% | 7.62% | 6.87% | 0.47% |
Relative Value
| Index Name | DTD | MTD | YTD | Index Value | Jul 2019 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Relative Value Arbitrage Index › | 0.0464% | -0.28% | 4.24% | 1220.63 | 0.33% | 4.54% | 1.14% | 3.03% | |
| HFRX RV: Energy Infrastructure Index › | - | - | - | - | -0.52% | 9.97% | 3.91% | 5.13% | |
| HFRX RV: FI-Asset Backed Index › | - | - | - | - | 0.55% | 4.59% | 5.24% | 7.35% | |
| HFRX RV: FI-Convertible Arbitrage Index › | 0.1870% | -0.91% | 2.50% | 807.37 | 0.78% | 3.44% | 1.76% | 3.80% | |
| HFRX RV: FI-Corporate Index › | - | - | - | - | 0.72% | 7.91% | 3.63% | 5.24% | |
| HFRX RV: FI-Sovereign Index › | - | - | - | - | 0.96% | 7.30% | 5.25% | 5.10% | |
| HFRX RV: Real Estate Index › | - | - | - | - | 0.65% | 16.08% | 7.01% | 4.24% | |
| HFRX RV: Multi-Strategy Index › | 0.0341% | -0.23% | 4.00% | 1881.11 | 0.29% | 4.23% | 0.65% | 2.79% | |
| HFRX RV: Volatility Index › | - | - | - | - | 0.18% | 7.49% | -2.62% | 1.14% | |
| HFRX RV: Yield Alternative Index › | - | - | - | - | 0.06% | 13.00% | 5.48% | 4.81% |
Americas
| Index Name | DTD | MTD | YTD | Index Value | Jul 2019 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Latin America Index › | - | - | - | - | 1.17% | 14.87% | 11.05% | 7.05% | |
| HFRX North America Index › | - | - | - | - | 0.10% | 2.35% | -5.04% | 0.27% |
Asia
| Index Name | DTD | MTD | YTD | Index Value | Jul 2019 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Asia Composite Hedge Fund Index › | - | - | - | - | -0.01% | 6.03% | -5.53% | 2.06% | |
| HFRX Asia Equally Weighted Index › | - | - | - | - | -0.03% | 5.31% | -4.96% | 2.08% | |
| HFRX Asia ex-Japan Index › | - | - | - | - | 0.12% | 9.48% | -8.58% | 2.50% | |
| HFRX Asia with Japan Index › | - | - | - | - | -0.51% | 3.34% | -1.73% | 0.88% | |
| HFRX Japan Index › | - | - | - | - | 0.30% | 3.00% | -4.89% | 2.53% |
Europe
| Index Name | DTD | MTD | YTD | Index Value | Jul 2019 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Northern Europe Index › | - | - | - | - | -0.08% | 4.73% | 1.94% | 4.41% | |
| HFRX Russia/Eastern Europe Index › | - | - | - | - | 1.37% | 18.72% | 13.07% | 10.07% | |
| HFRX Western/Pan Europe Index › | - | - | - | - | 0.76% | 5.89% | 5.26% | 6.44% |
Other Region
| Index Name | DTD | MTD | YTD | Index Value | Jul 2019 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Multi-Region Index › | 0.1755% | -0.47% | 5.59% | 1356.59 | 0.67% | 6.09% | -0.47% | 2.30% |
Emerging Markets
| Index Name | DTD | MTD | YTD | Index Value | Jul 2019 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Asia ex-Japan Index › | - | - | - | - | 0.12% | 9.48% | -8.58% | 2.50% | |
| HFRX Brazil Index › | - | - | - | - | 3.18% | 19.46% | 19.77% | 10.36% | |
| HFRX BRIC Index › | - | - | - | - | 0.06% | 11.41% | 0.27% | 7.76% | |
| HFRX China Index › | - | - | - | - | -0.68% | 11.45% | -9.08% | 6.29% | |
| HFRX India Index › | - | - | - | - | -3.33% | -1.18% | -11.21% | 4.13% | |
| HFRX Latin America Index › | - | - | - | - | 1.17% | 14.87% | 11.05% | 7.05% | |
| HFRX MENA Index › | - | - | - | - | 2.35% | 11.87% | 5.32% | 8.86% | |
| HFRX Emerging Markets Composite Index › | -0.1660% | -0.68% | 0.03% | 1771.92 | 1.76% | 0.72% | -2.49% | -0.59% | |
| HFRX Multi-Emerging Markets Index › | - | - | - | - | 0.91% | 7.42% | 2.99% | 4.51% | |
| HFRX Russia Index › | - | - | - | - | 1.07% | 16.05% | 1.91% | 7.72% | |
| HFRX Russia/Eastern Europe Index › | - | - | - | - | 1.37% | 18.72% | 13.07% | 10.07% | |
| HFRX Total Emerging Market Index › | - | - | - | - | 1.23% | 13.76% | 6.12% | 6.35% |
FX Hedged
| Index Name | DTD | MTD | YTD | Index Value | Jul 2019 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Equal Weighted Strategies CHF Index › | 0.1985% | -0.36% | 1.26% | 1185.21 | 0.23% | 1.63% | -4.21% | -1.66% | |
| HFRX Equal Weighted Strategies EUR Index › | 0.2059% | -0.38% | 1.29% | 1052.46 | 0.30% | 1.67% | -3.98% | -1.24% | |
| HFRX Equal Weighted Strategies GBP Index › | 0.2119% | -0.33% | 1.83% | 2169.64 | 0.43% | 2.16% | -3.01% | -0.36% | |
| HFRX Equal Weighted Strategies JPY Index › | 0.1978% | -0.31% | 1.63% | 101785.23 | 0.37% | 1.95% | -3.34% | -0.51% | |
| HFRX Global Hedge Fund CAD Index › | 0.2133% | -0.10% | 3.87% | 1216.26 | 0.71% | 3.97% | -2.45% | 1.03% | |
| HFRX Global Hedge Fund CHF Index › | 0.1950% | -0.21% | 1.72% | 1156.67 | 0.27% | 1.94% | -5.68% | -1.93% | |
| HFRX Global Hedge Fund EUR Index › | 0.2032% | -0.24% | 1.93% | 1028.71 | 0.35% | 2.17% | -5.26% | -1.28% | |
| HFRX Global Hedge Fund GBP Index › | 0.2093% | -0.22% | 2.66% | 2147.24 | 0.52% | 2.88% | -4.07% | -0.34% | |
| HFRX Global Hedge Fund JPY Index › | 0.2002% | -0.15% | 2.87% | 102258.92 | 0.57% | 3.02% | -3.99% | -0.28% | |
| HFRX Equity Hedge EUR Index › | 0.2533% | -0.83% | 5.49% | 1059.42 | 0.82% | 6.37% | -5.94% | 0.63% | |
| HFRX Macro/CTA EUR Index › | 0.0493% | 0.51% | 4.01% | 1046.98 | 1.60% | 3.49% | 1.72% | -2.13% | |
| HFRX Event Driven EUR Index › | 0.4474% | 0.17% | 1.78% | 1311.84 | -0.11% | 1.60% | -6.93% | -1.85% | |
| HFRX Relative Value Arbitrage EUR Index › | 0.0394% | -0.45% | 3.16% | 1061.88 | 0.06% | 3.63% | -1.07% | 0.77% |
Thematic
| Index Name | DTD | MTD | YTD | Index Value | Jul 2019 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Fixed Income - Credit Index › | 0.1938% | -0.56% | 2.80% | 2053.06 | 0.49% | 3.38% | 0.73% | 2.50% | |
| HFRX Alternative Energy Index › | - | - | - | - | 0.01% | 11.48% | 1.04% | 7.49% | |
| HFRX Diversity Index › | - | - | - | - | 0.11% | 10.53% | 4.13% | 6.11% | |
| HFRX Diversity: Women Index › | - | - | - | - | 0.45% | 3.48% | -1.84% | 5.77% |
HFRX Indices July Performance Notes
Global financial markets posted mixed performance in July, as the US Federal Reserve lowered US interest rates amid rising trade tensions. Global equity markets posted mixed performance led by the US, as markets posted steep declines on the final day of the month; Semiconductor & commodity sensitive sectors led gains, globally gains in UK and Japan were offset by declines in France, Germany & China. US interest rates declined across most maturities as the US Federal Reserve lowered rates, the US Dollar fell against the Japanese Yen but gained against the British Pound Sterling. Oil & Natural Gas led energy commodity declines, while Platinum & Silver led Metals advanced. Hedge Funds and Risk Premia strategies posted gains for the month with the HFRX Global Hedge Fund Index and the HFRX Market Directional Index gaining +0.77% and +1.68%, respectively.
HFRX Macro/CTA Index posted a gain of +1.83% for July from gains in Systematic trend-following and mixed performance Global Discretionary strategies. The HFRX Macro Systematic/CTA Index posted a gain of +3.12% for the month as the US Dollar fell against the Japanese Yen but gained against the British Pound Sterling and the Euro. Agricultural commodities were traded on a wide range while Energy declined and Platinum & Silver posted gains.
HFRX Equity Hedge Index posted a gain of +1.07% for July from gains in Fundamental Value & Growth strategies. The HFRX Fundamental Growth Index gained +2.08% for the period from gains in Emerging Markets and small-cap equities. The HFRX Fundamental Value Index posted a gain of +0.74% from gains in large-cap equities in developed markets. The HFRX Market Neutral Index posted a decline of -0.71% from mixed performance in mean reverting, factor-based strategies and fundamental managers.
HFRX Relative Value Arbitrage Index posted a gain of +0.33% for July from gains in Convertible Arbitrage strategies and Multi-Strategy managers. The HFRX Convertible Arbitrage Index gained +0.78% for July as volatility increased while yields declined during the period. The HFRX RV: Multi-Strategy Index posted a gain of +0.29% for the month from gains in Global Credit strategies.
HFRX Event Driven Index posted a gain of +0.16% for July from gains in Merger Arbitrage and Special Situations equity strategies. The HFRX Merger Arbitrage Index gained +0.34% from participation in global deals, while the HFRX Special Situations Index posted gain of +0.16% from European corporate activity which was partially offset by Asian exposure.
Comments reference performance figures for July 31, 2019