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 | Dec 2018 | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|
| HFRX Global Hedge Fund Index › | 0.0703% | 1.74% | 1.74% | 1210.55 | -1.93% | -6.72% | 0.45% | |
| HFRX Equal Weighted Strategies Index › | 0.0247% | 1.16% | 1.16% | 1221.37 | -1.25% | -5.35% | 0.97% | |
| HFRX Absolute Return Index › | 0.0352% | 0.97% | 0.97% | 1068.32 | -0.96% | -0.49% | 1.05% | |
| HFRX Aggregate Index › | - | - | - | - | -1.97% | -4.45% | 2.13% | |
| HFRX Market Directional Index › | -0.2635% | 1.09% | 1.09% | 1117.16 | -1.60% | -12.54% | -0.30% |
Equity Hedge
| Index Name | DTD | MTD | YTD | Index Value | Dec 2018 | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|
| HFRX Equity Hedge Index › | 0.4903% | 3.76% | 3.76% | 1194.39 | -4.23% | -9.42% | -0.09% | |
| HFRX EH: Energy/Basic Materials Index › | - | - | - | - | -2.81% | -4.01% | 3.68% | |
| HFRX EH: Equity Market Neutral Index › | 0.1794% | -0.18% | -0.18% | 970.86 | -0.43% | -3.16% | -2.21% | |
| HFRX EH: Fundamental Growth Index › | 0.2209% | 3.16% | 3.16% | 1566.25 | -4.72% | -14.28% | -1.27% | |
| HFRX EH: Fundamental Value Index › | 0.7462% | 4.68% | 4.68% | 1200.10 | -4.19% | -6.06% | 1.13% | |
| HFRX EH: Multi-Strategy Index › | - | - | - | - | -2.63% | -6.25% | 2.99% | |
| HFRX EH: Quantitative Directional Index › | - | - | - | - | -2.55% | -4.50% | 0.24% | |
| HFRX EH: Short Bias Index › | - | - | - | - | 4.61% | 3.11% | -4.47% | |
| HFRX EH: Technology/Healthcare Index › | - | - | - | - | -3.88% | 2.60% | 7.05% |
Event-Driven
| Index Name | DTD | MTD | YTD | Index Value | Dec 2018 | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|
| HFRX Event Driven Index › | 0.0281% | 2.45% | 2.45% | 1507.32 | -1.18% | -11.68% | 1.47% | |
| HFRX ED: Activist Index › | - | - | - | - | -7.64% | -7.37% | 2.37% | |
| HFRX ED: Credit Arbitrage Index › | - | - | - | - | -2.22% | -0.62% | 5.43% | |
| HFRX ED: Distressed Restructuring Index › | 0.1253% | 2.08% | 2.08% | 1022.38 | -1.49% | -9.50% | 3.77% | |
| HFRX ED: Merger Arbitrage Index › | -0.0058% | 0.55% | 0.55% | 1827.60 | -0.38% | -1.91% | 1.51% | |
| HFRX ED: Multi-Strategy Index › | - | - | - | - | -2.18% | -7.10% | 2.40% | |
| HFRX ED: Special Situations Index › | -0.0168% | 2.77% | 2.77% | 1236.37 | -1.00% | -13.09% | 0.61% |
Macro
| Index Name | DTD | MTD | YTD | Index Value | Dec 2018 | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|
| HFRX Macro/CTA Index › | -0.7269% | -3.18% | -3.18% | 1090.29 | 0.76% | -3.25% | -1.26% | |
| HFRX Macro: Active Trading Index › | - | - | - | - | -0.38% | 0.96% | 1.81% | |
| HFRX Macro: Commodity Index › | - | - | - | - | -1.25% | 0.01% | -0.69% | |
| HFRX Macro: Commodity-Agriculture Index › | - | - | - | - | -0.98% | -7.98% | -2.76% | |
| HFRX Macro: Commodity-Energy Index › | - | - | - | - | 1.26% | 6.18% | 0.92% | |
| HFRX Macro: Commodity-Metals Index › | - | - | - | - | -0.39% | -15.15% | 0.80% | |
| HFRX Macro: Currency Index › | - | - | - | - | 0.56% | -1.88% | -0.54% | |
| HFRX Macro: Discretionary Thematic Index › | - | - | - | - | -1.04% | -2.22% | 1.59% | |
| HFRX Macro: Multi-Strategy Index › | - | - | - | - | -3.13% | -8.53% | -1.11% | |
| HFRX Macro: Systematic Diversified CTA Index › | -1.0474% | -4.57% | -4.57% | 1437.95 | 1.20% | -5.08% | -0.58% |
Relative Value
| Index Name | DTD | MTD | YTD | Index Value | Dec 2018 | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|
| HFRX Relative Value Arbitrage Index › | 0.1606% | 2.14% | 2.14% | 1196.02 | -2.02% | -1.17% | 1.20% | |
| HFRX RV: Energy Infrastructure Index › | - | - | - | - | -2.09% | 0.08% | 4.61% | |
| HFRX RV: FI-Asset Backed Index › | - | - | - | - | -2.86% | 2.09% | 5.74% | |
| HFRX RV: FI-Convertible Arbitrage Index › | -0.1132% | 0.91% | 0.91% | 794.84 | -1.05% | -1.08% | 3.90% | |
| HFRX RV: FI-Corporate Index › | - | - | - | - | -2.49% | -2.58% | 4.10% | |
| HFRX RV: FI-Sovereign Index › | - | - | - | - | -0.47% | -2.33% | 4.59% | |
| HFRX RV: Real Estate Index › | - | - | - | - | -4.03% | -4.01% | 2.43% | |
| HFRX RV: Multi-Strategy Index › | 0.2068% | 2.22% | 2.22% | 1849.07 | -2.13% | -1.20% | 0.72% | |
| HFRX RV: Volatility Index › | - | - | - | - | -5.60% | -8.48% | 1.84% | |
| HFRX RV: Yield Alternative Index › | - | - | - | - | -3.07% | -1.88% | 3.69% |
Americas
| Index Name | DTD | MTD | YTD | Index Value | Dec 2018 | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|
| HFRX Latin America Index › | - | - | - | - | -1.34% | -7.71% | 6.19% | |
| HFRX North America Index › | 0.2730% | 2.66% | 2.66% | 1333.84 | -2.36% | -7.62% | 0.15% |
Asia
| Index Name | DTD | MTD | YTD | Index Value | Dec 2018 | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|
| HFRX Asia Composite Hedge Fund Index › | - | - | - | - | -3.46% | -13.35% | -0.40% | |
| HFRX Asia Equally Weighted Index › | - | - | - | - | -3.63% | -12.27% | -0.26% | |
| HFRX Asia ex-Japan Index › | - | - | - | - | -3.01% | -18.74% | -0.65% | |
| HFRX Asia with Japan Index › | - | - | - | - | -1.93% | -6.19% | -0.64% | |
| HFRX Japan Index › | - | - | - | - | -5.96% | -11.69% | 0.22% |
Europe
| Index Name | DTD | MTD | YTD | Index Value | Dec 2018 | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|
| HFRX Northern Europe Index › | - | - | - | - | -1.02% | -0.90% | 3.63% | |
| HFRX Russia/Eastern Europe Index › | - | - | - | - | -1.91% | -8.98% | 6.98% | |
| HFRX Western/Pan Europe Index › | - | - | - | - | -0.13% | 4.94% | 3.59% |
Other Region
| Index Name | DTD | MTD | YTD | Index Value | Dec 2018 | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|
| HFRX Multi-Region Index › | 0.0826% | 2.06% | 2.06% | 1311.23 | -2.07% | -5.90% | 0.34% |
Emerging Markets
| Index Name | DTD | MTD | YTD | Index Value | Dec 2018 | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|
| HFRX Asia ex-Japan Index › | - | - | - | - | -3.01% | -18.74% | -0.65% | |
| HFRX Brazil Index › | - | - | - | - | -1.60% | -9.72% | 12.40% | |
| HFRX BRIC Index › | - | - | - | - | -3.23% | -15.87% | 7.20% | |
| HFRX China Index › | - | - | - | - | -3.26% | -21.25% | 1.16% | |
| HFRX India Index › | - | - | - | - | -2.63% | -18.35% | 6.46% | |
| HFRX Latin America Index › | - | - | - | - | -1.34% | -7.71% | 6.19% | |
| HFRX MENA Index › | - | - | - | - | -1.71% | -1.52% | 3.46% | |
| HFRX Emerging Markets Composite Index › | -0.0565% | -0.43% | -0.43% | 1763.75 | 0.27% | -7.55% | -0.41% | |
| HFRX Multi-Emerging Markets Index › | - | - | - | - | -0.58% | -5.45% | 3.41% | |
| HFRX Russia Index › | - | - | - | - | -5.76% | -16.62% | 6.17% | |
| HFRX Russia/Eastern Europe Index › | - | - | - | - | -1.91% | -8.98% | 6.98% | |
| HFRX Total Emerging Market Index › | - | - | - | - | -1.41% | -9.53% | 3.07% |
FX Hedged
| Index Name | DTD | MTD | YTD | Index Value | Dec 2018 | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|
| HFRX Equal Weighted Strategies CHF Index › | 0.0270% | 1.11% | 1.11% | 1183.50 | -1.62% | -8.95% | -2.05% | |
| HFRX Equal Weighted Strategies EUR Index › | 0.0274% | 1.10% | 1.10% | 1050.50 | -1.57% | -8.46% | -1.49% | |
| HFRX Equal Weighted Strategies GBP Index › | 0.0369% | 1.08% | 1.08% | 2153.67 | -1.46% | -7.44% | -0.58% | |
| HFRX Equal Weighted Strategies JPY Index › | 0.0306% | 1.04% | 1.04% | 101195.27 | -1.55% | -7.59% | -0.75% | |
| HFRX Global Hedge Fund CAD Index › | 0.0597% | 1.73% | 1.73% | 1191.24 | -2.06% | -7.61% | -0.11% | |
| HFRX Global Hedge Fund CHF Index › | 0.0733% | 1.52% | 1.52% | 1154.40 | -2.31% | -10.94% | -2.82% | |
| HFRX Global Hedge Fund EUR Index › | 0.0735% | 1.54% | 1.54% | 1024.81 | -2.26% | -9.93% | -2.09% | |
| HFRX Global Hedge Fund GBP Index › | 0.0817% | 1.59% | 1.59% | 2124.90 | -2.15% | -8.90% | -1.25% | |
| HFRX Global Hedge Fund JPY Index › | 0.0793% | 1.62% | 1.62% | 101016.01 | -2.21% | -8.90% | -1.25% | |
| HFRX Equity Hedge EUR Index › | 0.4996% | 3.69% | 3.69% | 1041.40 | -4.52% | -12.26% | -2.40% | |
| HFRX Event Driven EUR Index › | 0.0365% | 2.41% | 2.41% | 1320.03 | -1.48% | -14.43% | -0.86% | |
| HFRX Macro/CTA EUR Index › | -0.7343% | -3.23% | -3.23% | 974.13 | 0.45% | -6.28% | -3.53% | |
| HFRX Relative Value Arbitrage EUR Index › | 0.1651% | 2.09% | 2.09% | 1050.88 | -2.31% | -3.99% | -1.01% |
Thematic
| Index Name | DTD | MTD | YTD | Index Value | Dec 2018 | LAST 12M | LAST 36M | |
|---|---|---|---|---|---|---|---|---|
| HFRX Fixed Income - Credit Index › | 0.0574% | 1.48% | 1.48% | 2026.74 | -1.43% | -2.55% | 2.04% | |
| HFRX Alternative Energy Index › | - | - | - | - | -5.46% | -0.91% | 5.31% | |
| HFRX Diversity Index › | - | - | - | - | -3.20% | -2.50% | 3.18% | |
| HFRX Diversity: Women Index › | - | - | - | - | -2.29% | -1.81% | 5.54% |
HFRX Indices Mid-January Performance Notes
Global markets rose through mid-January as US-China trade talks advanced on a positive direction and the US Federal Reserve expressed caution on future rate hikes. US equity markets were led by Energy and Biotech sectors; European markets were positive in spite of the uncertainty around the Brexit deal. Emerging Markets were also positive for the period. The US Dollar declined against the Japanese Yen, the British Pound Sterling, while rose against the Swiss Franc and Euro. Yields were little changed, while commodities gained, led by Energy, Sugar and Lumber. Hedge funds posted gains through mid-month with the HFRX Global Hedge Fund Index gaining +1.66%.
HFRX Equity Hedge Index posted a gain of +3.04% through mid-January from gains in Fundamental strategies only partially offset by narrow declines in Market Neutral managers. The HFRX Fundamental Value Index posted a gain of +3.55% from exposure to large-cap Consumer, Financial and Communications sectors. The HFRX Fundamental Growth Index gained +2.88% for the period from gains in Global Healthcare and European Consumer exposure. The HFRX Market Neutral Index posted a decline of -0.40% from mixed performance from mean reverting, factor based strategies and fundamental managers.
HFRX Event Driven Index posted a gain of +2.50% through mid-January from gains in Special Situations equity, Distressed and Merger Arbitrage strategies. The HFRX Special Situations Index gained +2.93% from core positioning in Marriot, Obsidian Energy, Viad, Granite Real Estate, and Tower Semiconductor. The HFRX Distressed Index posted a gain of +1.93% for the period from exposure to the Consumer, Financial and Energy sectors. The HFRX Merger Arbitrage Index posted a gain of +0.55% through mid-month with core exposures to the Veritas Capital/athenahealth, Fifth Third/MB Financial, CommScope/ARRIS, PepsiCo/SodaStream and CC Capital Partners/Bilcar/Cannae/Dun & Bradstreet transactions.
HFRX Relative Value Arbitrage Index posted a gain of +1.89% through mid-January from gains in Multi-Strategy, Convertible Arbitrage and Yield Alternatives – Energy Infrastructure managers. The HFRX Convertible Arbitrage Index gained +1.14% through mid-January as volatility decreased during the period while yields were little changed. The HFRX RV: Multi-Strategy Index posted a gain of +1.89% through mid-month from gains in Global Credit and MBS strategies.
HFRX Macro/CTA Index posted a decline of -2.16% through mid-January from declines in systematic trend-following managers only partially offset by gains in Emerging Markets strategies. The HFRX Macro Systematic Index declined -3.03% through mid-month as the US Dollar declined against the Japanese Yen, the British Pound Sterling and most Emerging Markets currencies, while rose against the Swiss Franc and Euro. Most commodities gained through the period, led by Oil and Natural Gas, Sugar and Lumber, with Cocoa experiencing declines.
Comments reference performance figures as of January 16, 2019