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All HFRX Indices by Type
HFRX Index Descriptions HFRX Index Characteristics HFRX Index Methodology HFR Indices FAQ HFR Index Redistribution Licensing

HFRXIndices - Methodology



HFRX UCITS Constituents and Weightings


HFRX Indices Restructuring - Effective October 1, 2011

Hedge Fund Research, Inc. has introduced a restructuring of the HFRX Indices effective October 1, 2011 (the "Effective Date"). Prior to the Effective Date the HFRX Global Index and HFRX Equal Weighted Index were comprised of 8 Single Daily Strategy Indices; the HFRX Equity Hedge Index, the HFRX Event Driven Index, the HFRX Macro Index, the HFRX Relative Value Arbitrage Index, the HFRX Convertible Arbitrage Index, the HFRX Merger Arbitrage Index, the HFRX Equity Market Neutral Index and the HFRX Distressed Securities Index. To conform to changes in the current hedge fund universe, the single strategies comprising the HFRX Global Index will be reconfigured to include only the first four single strategy indices listed above, the remaining four now being more appropriately categorized as daily sub-strategy indices of those first four (see table below). Additional sub-strategy indices will be added.

The restructuring reflects the evolution of strategic trends in the hedge fund industry, cognizant of the reality that the classification system is likely to continue to evolve, as new opportunities attract investor capital. The objectives of the classification system is to define pure strategy and sub-strategy buckets which can be used to characterize pure strategy return at each level of analysis, to be used for purposes of quantitative index construction. Accordingly, the names for several HFRX Indices have been updated in order to better reflect how each index falls within the HFR Hedge Fund Strategy Classification system.

Please note that while there were changes to the HFRX Index names and a change to the Index constituencies, the performance for earlier time periods of any index will not be recomputed and will remain unchanged.

NOTES:
HFR did not recompute the past performance of any index.
The constituents of eight previously-published indices were merged into other indices.


New HFRX Global Hedge Fund Index Composition



HFRX Index Name Changes

Old Index Name New Index Name (effective Oct. 1, 2011) Ticker
 
Equity Hedge  
HFRX Equity Hedge Index no change HFRXEH
HFRX Equity Market Neutral Index HFRX EH: Equity Market Neutral Index HFRXEMN
HFRX Energy/Basic Materials Index HFRX EH: Energy/Basic Materials Index HFRXEBM
HFRX Fundamental Growth Index HFRX EH: Fundamental Growth Index HFRXEHG
HFRX Fundamental Value Index HFRX EH: Fundamental Value Index HFRXEHV
HFRX EH: Multi-Strategy Index no change HFRXEHMS
HFRX Quantitative Directional Index HFRX EH: Quantitative Directional Index HFRXQD
HFRX Short Bias Index HFRX EH: Short Bias Index HFRXSB
HFRX Technology/Healthcare Index HFRX EH: Technology/Healthcare Index HFRXTH
   
Event Driven  
HFRX Event Driven Index no change HFRXED
HFRX Activist Index HFRX ED: Activist Index HFRXACT
HFRX Credit Arbitrage Index HFRX ED: Credit Arbitrage Index HFRXCRED
HFRX Distressed Securities Index HFRX ED: Distressed Restructuring Index HFRXDS
HFRX Merger Arbitrage Index HFRX ED: Merger Arbitrage Index HFRXMA
HFRX ED: Multi-Strategy Index no change HFRXEDMS
HFRX Private Issue/Regulation D Index HFRX ED: Private Issue/Regulation D Index HFRXREGD
HFRX Special Situations Index HFRX ED: Special Situations Index HFRXSS
   
Macro  
HFRX Macro Index HFRX Macro/CTA Index HFRXM
HFRX Active Trading Index HFRX Macro: Active Trading Index HFRXTRAD
HFRX Commodity Index HFRX Macro: Commodity Index HFRXCOM
HFRX Commodity: Agriculture Index HFRX Macro: Commodity-Agriculture Index HFRXAGRI
HFRX Commodity: Energy Index HFRX Macro: Commodity-Energy Index HFRXENEG
HFRX Commodity: Metals Index HFRX Macro: Commodity-Metals Index HFRXMETL
HFRX Currency Index HFRX Macro: Currency Index HFRXCUR
HFRX Discretionary Thematic Index HFRX Macro: Discretionary Thematic Index HFRXDT
HFRX Macro: Multi-Strategy Index no change HFRXMMS
HFRX Systematic Diversified Index HFRX Macro: Systematic Diversified CTA Index HFRXSDV
HFRX Macro EUR Index HFRX Macro/CTA EUR Index HFRXME
   
Relative Value  
HFRX Relative Value Arbitrage Index no change HFRXRVA
HFRX Convertible Arbitrage Index HFRX RV: FI-Convertible Arbitrage Index HFRXCA
HFRX Energy Infrastructure Index HFRX RV: Energy Infrastructure Index HFRXEINF
HFRX Fixed Income-Asset Backed Index HFRX RV: FI-Asset Backed Index HFRXFAB
HFRX Fixed Income-Corporate Index HFRX RV: FI-Corporate Index HFRXFCO
HFRX Fixed Income-Sovereign Index HFRX RV: FI-Sovereign Index HFRXFSV
HFRX Real Estate Index HFRX RV: Real Estate Index HFRXREAL
HFRX RVA: Multi-Strategy Index HFRX RV: Multi-Strategy Index HFRXRVMS
HFRX Volatility Index HFRX RV: Volatility Index HFRXVOL
HFRX Yield Alternative Index HFRX RV: Yield Alternative Index HFRXYA


HFR Indices Basic Methodology and FAQ


HFRX Methodology Whitepaper
HFRX Indices - Construction and Methodology


HFR believes in a dynamic, bottom-up approach to index construction based on hard numbers and style purity
  • HFR screens approximately 6,000 hedge funds to identify those firms with multi-year records, at least $50 million AUM, willing to trade on a transparent basis and are open to new assets

  • Cluster and correlation analyses are performed to group managers by true strategy categories and to eliminate outliers

  • Monte Carlo Simulation helps determine the adequate number of managers to replicate each strategy

  • Selected managers must provide daily transparency and pass extensive qualitative screening

  • Manager investments are then weighted to maximize representation with their group


The names for several HFRX Indices were updated in order to better reflect how each index falls within the HFR Hedge Fund Strategy Classification system. (October 1, 2011)

HFRX Indices are designed to be representative of the overall composition of the hedge fund industry.

The HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedge fund universe. It is comprised of all eligible hedge fund strategies; including but not limited to convertible arbitrage, distressed securities, equity hedge, equity market neutral, event driven, macro, merger arbitrage, and relative value arbitrage. The underlying constituents and indices are asset weighted based on the distribution of assets in the hedge fund industry. The HFRX Equal Weighted Strategies Index applies an equal weight to all constituent strategy indices. The HFRX Absolute Return Index selects constituents which characteristically exhibit lower volatilities and lower correlations to standard directional benchmarks of equity market and hedge fund industry performance. The HFRX Market Directional Index selects constituents which characteristically exhibit higher volatilities and higher correlations to standard directional benchmarks of equity market and hedge fund industry performance.

Hedge Fund Research, Inc. ("HFR") utilizes a UCITS compliant methodology to construct the HFRX Hedge Fund Indices. The methodology is based on defined and predetermined rules and objective criteria to select and rebalance components to maximize representation of the Hedge Fund Strategy Universe. Construction of each Index employs state-of-the-art quantitative techniques and qualitative analysis. Multi-level screening, cluster analysis, Monte-Carlo simulations and optimization techniques ensure that each Index is a pure representation of its corresponding hedge fund strategy.

HFRX index performance profiles reflect respective dates of inception. Index values provided prior to the inception of daily performance, are calculated by means of retroactive and iterative application of the index model. The values for the HFRX EUR, JPY, CHF and GBP FX Indices are calculated by applying to the USD index value the cost of a rolling monthly foreign exchange contract on the relevant currency. All HFRX Indices are re-balanced quarterly.



For questions concerning the HFRX Indices please e-mail: info@hfr.com








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