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HFRU Indices


 


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HFRUIndices - Methodology


ABOUT THE HFRU INDICES:


The HFRU Indices are premier performance benchmarks for hedge funds compliant with established UCITS guidelines. HFRU Indices are representative of the complete universe of UCITS hedge funds, including 4 strategy indices (Equity Hedge, Event Driven, Macro and Relative Value Arbitrage) and an aggregate HFRU Hedge Fund Composite Index.

HFRU FX-Hedged indices contain the identical constituents as the standard EUR-denominated indices and employ the same FX-hedging methodology utilized by other HFR indices. The values for the HFRU USD, JPY, CHF and GBP FX-Hedged Indices are calculated by applying to the EUR index value the cost of a rolling monthly foreign exchange contract on the relevant currency.

HFRU Indices are published on a daily basis and comprise the most comprehensive benchmarks of UCITS hedge fund performance. For more information on HFRU Indices please contact indices@hfr.com.

    HFRU Index Eligibility Criteria
    Funds eligible to index constituents have to meet all of the following criteria:

  • Fund is confirmed to be UCITS compliant
  • Performance reported net of all fees
  • Fund reports at least biweekly NAV
  • Fund manager has at least €10 million of assets under management or a six-month track record
    HFRU Index Methodology Notes
  • The HFRU Indices are rebalanced on a quarterly basis.
  • The HFRU Indices are equally weighted across the selected funds
  • The performance of the Indices is denominated in EUR
  • The values for the HFRU USD, JPY, CHF and GBP FX-Hedged Indices are calculated by applying to the EUR index value the cost of a rolling monthly foreign exchange contract on the relevant currency.
  • Performance is initially published as an estimate and may be subject to change for 5 additional reporting days. After the fifth day, the index performance for that date is locked and is no longer subject to change.
  • The HFRU Indices are updated daily on a T+1 basis. Index Values are not published for days which are bank holidays in Luxembourg or Ireland.
  • Index Values are not reported on days which are bank holidays in the United States.
  • Funds are eligible for inclusion in the HFRU Indices the month after their addition to HFR Database. For instance, a fund that is added to HFR Database in June is eligible for inclusion in the indices upon reporting their July performance.
  • If a fund liquidates/closes, that fund's performance will be included in the HFRU Indices as of that fund's last reported performance update.
  • Duplicate share classes of funds are not considered as Index constituents.
Click here to view the HFRU Indices Formulaic Methodology






INDEX DATA USAGE NOTICE: All data and content on the HFR website and in the HFR Database products are for your informational and personal use only. The total return data provided on the HFR website, the HFR Database products, and the reports generated from them are for internal, non-commercial use only. The data is not sufficient, comprehensive enough or approved for use in connection with investment products or instruments. You may not copy, redistribute, sell, retransmit, or make the data available to a third party, or otherwise use it for any commercial or public purpose unless you have a separate written agreement with HFR. You require a written license from HFR to use the HFR data, HFR marks and names and/or HFR Index names, including but not limited to use in connection with investment products and instruments (regardless of whether such products or instruments are based on, linked to or track an HFR Index), the name of investment products and instruments, in prospectuses, marketing and other materials publicly or commercially disseminated, benchmarking purposes, and any SEC, government or regulatory filings.

Please contact HFR for additional information at: INDICES@HFR.COM


CONTENT DISCLAIMER: This information is obtained from sources that Hedge Fund Research, Inc. considers to be reliable; however, no representation is made as to, and no responsibility or liability is accepted for, the accuracy or completeness of the information. Information contained herein is subject to change at any time without notice.


HFR Indices Terms of Use








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