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 | Apr 2018 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Global Hedge Fund Index › | 0.0866% | 1.07% | 0.14% | 1277.33 | 0.09% | -0.92% | 2.86% | 0.47% | |
| HFRX Equal Weighted Strategies Index › | 0.0462% | 0.89% | -0.34% | 1271.31 | 0.06% | -1.22% | 1.55% | 1.18% | |
| HFRX Absolute Return Index › | 0.0497% | 0.67% | 1.06% | 1074.55 | 0.09% | 0.39% | 2.80% | 1.70% | |
| HFRX Aggregate Index › | - | - | - | - | 0.25% | 0.43% | 4.20% | 2.83% | |
| HFRX Market Directional Index › | 0.0279% | 1.27% | -2.61% | 1230.54 | -0.02% | -3.83% | -3.15% | -1.72% |
Equity Hedge
| Index Name | DTD | MTD | YTD | Index Value | Apr 2018 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Equity Hedge Index › | 0.0828% | 0.90% | 1.52% | 1290.07 | -0.55% | 0.61% | 6.98% | 1.51% | |
| HFRX EH: Energy/Basic Materials Index › | - | - | - | - | 1.49% | 3.06% | 9.56% | 5.08% | |
| HFRX EH: Equity Market Neutral Index › | -0.0745% | 0.77% | 1.44% | 1018.88 | -0.07% | 0.66% | 0.77% | 0.76% | |
| HFRX EH: Fundamental Growth Index › | -0.2517% | 0.79% | 0.51% | 1780.16 | -1.89% | -0.27% | 12.25% | 0.24% | |
| HFRX EH: Fundamental Value Index › | 0.3761% | 0.96% | 2.04% | 1245.31 | 0.11% | 1.08% | 5.03% | 2.16% | |
| HFRX EH: Multi-Strategy Index › | - | - | - | - | -0.25% | -2.05% | 2.72% | 5.71% | |
| HFRX EH: Quantitative Directional Index › | - | - | - | - | 0.89% | 1.59% | 6.93% | 4.51% | |
| HFRX EH: Short Bias Index › | - | - | - | - | -0.24% | 0.66% | -5.04% | -4.49% | |
| HFRX EH: Technology/Healthcare Index › | - | - | - | - | -0.51% | 5.63% | 13.52% | 8.13% |
Event-Driven
| Index Name | DTD | MTD | YTD | Index Value | Apr 2018 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Event Driven Index › | 0.1005% | 0.58% | -3.84% | 1601.73 | 0.43% | -4.40% | -1.81% | 1.06% | |
| HFRX ED: Activist Index › | - | - | - | - | 0.34% | 2.67% | 4.52% | 6.05% | |
| HFRX ED: Credit Arbitrage Index › | - | - | - | - | 0.51% | 1.57% | 5.15% | 3.82% | |
| HFRX ED: Distressed Restructuring Index › | -0.0544% | 0.59% | -4.46% | 1057.31 | 0.44% | -5.02% | -4.13% | 0.76% | |
| HFRX ED: Merger Arbitrage Index › | 0.1924% | 0.89% | -1.11% | 1832.44 | -0.80% | -1.98% | -0.35% | 3.16% | |
| HFRX ED: Multi-Strategy Index › | - | - | - | - | 0.32% | -0.45% | 3.54% | 4.09% | |
| HFRX ED: Special Situations Index › | 0.1682% | 0.54% | -3.76% | 1332.17 | 0.46% | -4.28% | -1.08% | 1.04% |
Macro
| Index Name | DTD | MTD | YTD | Index Value | Apr 2018 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Macro/CTA Index › | 0.2523% | 2.96% | 1.34% | 1179.45 | 0.46% | -1.57% | 1.73% | -1.56% | |
| HFRX Macro: Active Trading Index › | - | - | - | - | 1.33% | 3.43% | 4.46% | 2.81% | |
| HFRX Macro: Commodity Index › | - | - | - | - | 0.29% | 1.32% | 0.47% | -0.78% | |
| HFRX Macro: Commodity-Agriculture Index › | - | - | - | - | -0.49% | -0.07% | 0.85% | 0.15% | |
| HFRX Macro: Commodity-Energy Index › | - | - | - | - | 1.96% | 10.14% | 0.86% | 1.56% | |
| HFRX Macro: Commodity-Metals Index › | - | - | - | - | -1.22% | -4.78% | -5.65% | 2.00% | |
| HFRX Macro: Currency Index › | - | - | - | - | 0.09% | -0.71% | -2.03% | -0.49% | |
| HFRX Macro: Discretionary Thematic Index › | - | - | - | - | 0.53% | 1.01% | 3.59% | 2.28% | |
| HFRX Macro: Multi-Strategy Index › | - | - | - | - | 1.06% | 1.65% | 6.54% | 0.29% | |
| HFRX Macro: Systematic Diversified CTA Index › | 0.3579% | 3.39% | 0.48% | 1595.21 | 0.40% | -2.81% | 3.82% | -0.42% |
Relative Value
| Index Name | DTD | MTD | YTD | Index Value | Apr 2018 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Relative Value Arbitrage Index › | -0.0436% | 0.39% | 1.61% | 1203.87 | 0.23% | 1.22% | 3.79% | 0.09% | |
| HFRX RV: Energy Infrastructure Index › | - | - | - | - | 3.98% | -3.09% | -8.71% | -7.94% | |
| HFRX RV: FI-Asset Backed Index › | - | - | - | - | 0.68% | 1.76% | 7.07% | 5.99% | |
| HFRX RV: FI-Convertible Arbitrage Index › | -0.1775% | 0.13% | 0.56% | 800.70 | 0.34% | 0.43% | 4.26% | 3.31% | |
| HFRX RV: FI-Corporate Index › | - | - | - | - | -0.01% | 1.47% | 5.14% | 4.78% | |
| HFRX RV: FI-Sovereign Index › | - | - | - | - | -0.50% | 0.47% | 4.70% | 5.77% | |
| HFRX RV: Real Estate Index › | - | - | - | - | 0.69% | -0.85% | 4.10% | 1.82% | |
| HFRX RV: Multi-Strategy Index › | -0.0304% | 0.32% | 1.70% | 1861.96 | 0.06% | 1.38% | 4.06% | -0.10% | |
| HFRX RV: Volatility Index › | - | - | - | - | 1.13% | -4.37% | -1.09% | 4.53% | |
| HFRX RV: Yield Alternative Index › | - | - | - | - | 2.33% | -1.92% | -2.35% | -2.81% |
Americas
| Index Name | DTD | MTD | YTD | Index Value | Apr 2018 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Latin America Index › | - | - | - | - | -1.59% | -0.08% | 5.70% | 7.50% | |
| HFRX North America Index › | 0.0471% | 0.64% | -0.04% | 1405.82 | 0.39% | -0.68% | 1.15% | -1.36% |
Asia
| Index Name | DTD | MTD | YTD | Index Value | Apr 2018 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Asia Composite Hedge Fund Index › | - | - | - | - | 0.10% | 0.94% | 9.29% | 4.10% | |
| HFRX Asia Equally Weighted Index › | - | - | - | - | 0.08% | 0.65% | 8.76% | 4.15% | |
| HFRX Asia ex-Japan Index › | - | - | - | - | 0.17% | 2.06% | 12.93% | 4.88% | |
| HFRX Asia with Japan Index › | - | - | - | - | 0.00% | 0.82% | 3.14% | 1.40% | |
| HFRX Japan Index › | - | - | - | - | 0.09% | -0.93% | 10.30% | 5.93% |
Europe
| Index Name | DTD | MTD | YTD | Index Value | Apr 2018 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Northern Europe Index › | - | - | - | - | 0.97% | 0.81% | 3.44% | 4.02% | |
| HFRX Russia/Eastern Europe Index › | - | - | - | - | -3.49% | -0.49% | 7.53% | 6.06% | |
| HFRX Western/Pan Europe Index › | - | - | - | - | 0.59% | 3.25% | 6.41% | 4.79% |
Other Region
| Index Name | DTD | MTD | YTD | Index Value | Apr 2018 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Multi-Region Index › | 0.0726% | 1.01% | 0.98% | 1378.74 | -0.14% | -0.03% | 3.90% | 1.00% |
Emerging Markets
| Index Name | DTD | MTD | YTD | Index Value | Apr 2018 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Asia ex-Japan Index › | - | - | - | - | 0.17% | 2.06% | 12.93% | 4.88% | |
| HFRX Brazil Index › | - | - | - | - | -3.91% | 1.21% | 14.58% | 10.10% | |
| HFRX BRIC Index › | - | - | - | - | -1.57% | 0.19% | 14.83% | 9.91% | |
| HFRX China Index › | - | - | - | - | -1.49% | 1.32% | 22.51% | 5.40% | |
| HFRX India Index › | - | - | - | - | 3.90% | -1.29% | 13.63% | 14.20% | |
| HFRX Latin America Index › | - | - | - | - | -1.59% | -0.08% | 5.70% | 7.50% | |
| HFRX MENA Index › | - | - | - | - | 2.34% | 6.50% | 14.11% | 4.63% | |
| HFRX Emerging Markets Composite Index › | -0.1181% | -1.18% | -1.71% | 1883.27 | -0.16% | -0.54% | 4.83% | -1.19% | |
| HFRX Multi-Emerging Markets Index › | - | - | - | - | -0.30% | 1.20% | 5.78% | 4.15% | |
| HFRX Russia Index › | - | - | - | - | -4.80% | -1.01% | 6.64% | 8.06% | |
| HFRX Russia/Eastern Europe Index › | - | - | - | - | -3.49% | -0.49% | 7.53% | 6.06% | |
| HFRX Total Emerging Market Index › | - | - | - | - | -0.71% | 1.15% | 7.14% | 5.91% |
FX Hedged
| Index Name | DTD | MTD | YTD | Index Value | Apr 2018 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Equal Weighted Strategies CHF Index › | 0.0491% | 0.68% | -1.79% | 1262.57 | -0.25% | -2.45% | -1.67% | -1.38% | |
| HFRX Equal Weighted Strategies EUR Index › | 0.0407% | 0.72% | -1.54% | 1117.62 | -0.20% | -2.24% | -1.14% | -0.72% | |
| HFRX Equal Weighted Strategies GBP Index › | 0.0453% | 0.77% | -1.15% | 2275.54 | -0.09% | -1.91% | -0.32% | 0.10% | |
| HFRX Equal Weighted Strategies JPY Index › | 0.0433% | 0.77% | -1.14% | 107141.70 | -0.12% | -1.89% | -0.26% | -0.11% | |
| HFRX Global Hedge Fund CAD Index › | 0.0795% | 1.02% | -0.27% | 1263.96 | 0.03% | -1.28% | 2.12% | 0.12% | |
| HFRX Global Hedge Fund CHF Index › | 0.0891% | 0.77% | -1.42% | 1258.58 | -0.22% | -2.18% | -0.41% | -2.10% | |
| HFRX Global Hedge Fund EUR Index › | 0.0822% | 0.90% | -1.12% | 1107.96 | -0.17% | -2.00% | 0.05% | -1.46% | |
| HFRX Global Hedge Fund GBP Index › | 0.0865% | 0.95% | -0.72% | 2279.40 | -0.06% | -1.66% | 0.89% | -0.73% | |
| HFRX Global Hedge Fund JPY Index › | 0.0845% | 0.95% | -0.67% | 108392.09 | -0.08% | -1.61% | 1.03% | -0.80% | |
| HFRX Equity Hedge EUR Index › | 0.0815% | 0.74% | 0.34% | 1148.51 | -0.78% | -0.40% | 4.39% | -0.27% | |
| HFRX Macro/CTA EUR Index › | 0.2521% | 2.85% | 0.14% | 1075.53 | 0.22% | -2.64% | -0.80% | -3.31% | |
| HFRX Event Driven EUR Index › | 0.1000% | 0.41% | -4.93% | 1432.07 | 0.21% | -5.32% | -4.19% | -0.72% | |
| HFRX Relative Value Arbitrage EUR Index › | -0.0488% | 0.22% | 0.56% | 1078.14 | 0.01% | 0.34% | 1.39% | -1.62% |
Thematic
| Index Name | DTD | MTD | YTD | Index Value | Apr 2018 | YTD | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|---|
| HFRX Fixed Income - Credit Index › | -0.0568% | 0.56% | 0.38% | 2057.03 | 0.20% | -0.18% | 2.06% | 0.80% | |
| HFRX Alternative Energy Index › | - | - | - | - | 3.10% | 3.34% | 8.06% | 2.59% | |
| HFRX Diversity Index › | - | - | - | - | 0.96% | 0.76% | 7.14% | 4.28% | |
| HFRX Diversity: Women Index › | - | - | - | - | 0.85% | 1.75% | 11.39% | 4.72% |
HFRX Indices Mid-May 2018 Performance Notes
Global financial markets posted gains through mid-May as US interest rates rose to the highest level in 7 years on expectations for continued economic strength & strong corporate earnings. Global equity markets posted gains led by US Technology and small caps; regional market gains were led by Germany, UK, China and France. US interest rates rose across all maturities as the yield curve flattened and the US Dollar continued to gain, posting sharp gains against the Euro, British Pound, Mexican Peso and Brazilian Real. Commodity gains were again led by Oil which rose to a 3 year high, Metals and Agricultural commodities posted mixed performance. Hedge funds posted gains through mid-May, with the HFRX Global Hedge Fund Index and the HFRX Market Directional Index gaining +1.07 % and 1.27%, respectively.
HFRX Macro/CTA Index posted a gain of +2.96% through mid-May from gains in systematic trend-following managers and Emerging Markets strategies. The HFRX Macro Systematic Index gained +3.39% through mid-month as Developed Markets rose while Emerging Markets were mixed and the US Dollar rose against most currencies. Energy posted gains, Gold and Platinum declined and Agricultural commodities traded in a wide range.
HFRX Equity Hedge Index posted a gain of +0.90% through mid-May with gains in Fundamental and Market Neutral strategies. The HFRX Fundamental Value Index gained +0.96% from exposure to large-cap Technology, Communications and Industrial sectors. The HFRX Fundamental Growth Index gained +0.79% for the period from gains from idiosyncratic positioning in Emerging Markets and Global Healthcare strategies. The HFRX Market Neutral Index posted a gain of +0.77% from gains in mean reverting, factor based strategies and fundamental managers.
HFRX Event Driven Index posted a gain of +0.58% through mid-May with gains from Merger Arbitrage. Special Situations equity strategies and Distressed managers. The HFRX Merger Arbitrage Index posted a gain of +0.89% for the period with core exposures to Akorn/Fresenius, Tribune Media/Sinclair Broadcast, AXA/XL Group, Albertsons/Rite Aid, Silver Lake & P2 Capital/Blackhawk Network, and Prysmian/General Cable transactions. The HFRX Distressed Index posted a gain of +0.59% through mid-month from exposure to Energy, Communications and Consumer sectors. The HFRX Special Situations Index gained +0.54% through mid-month from core positioning in Obsidian Energy, Marriot, Time Warner, Fiat Chrysler, NXP Semiconductors and Monsanto.
HFRX Relative Value Arbitrage Index posted a gain of +0.39% through mid-May from gains in Global Credit, Convertible and Yield Alternatives – Energy Infrastructure managers. The HFRX RV: Multi-Strategy Index gained +0.32% through mid-month from gains in Global Credit managers and MBS strategies. The HFRX Convertible Arbitrage Index gained +0.13% through mid-May as yields rose and volatility declined during the period.
Comments reference performance figures for May 21, 2018