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Compare characteristics of the HFR Indices

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

HFR Indices Basic Methodology and FAQ

What characteristics differentiate the HFRI, HFRX and HFRU Indices?

HFRI Indices
HFRX Indices
HFRU Indices
Inception Varies by index
(Earliest 1990)
Varies by index
(Earliest 1998)
Since 2008
Weighting Equal-weighted Varies by index
(see matrix below)
Reporting Style Net of all fees Net of all fees Net of all fees
Performance Time Series Available Monthly Daily or Monthly Daily since 2011
Monthly since 2008
Index calculated Three times per month Daily and Monthly Daily
Index performance finalized Trailing four months of performance are subject to revision
HFRI Monthly Indices Update Schedule
Performance finalized at month-end
HFRX Monthly Indices Update Schedule
Trailing 5 days of performance are subject to revision
Index rebalanced Monthly Quarterly Quarterly
Criteria for fund inclusion Listing in HFR Database; Reports monthly net of all fees monthly performance and assets in USD In addition to meeting HFRI criteria, fund must be open to new transparent investment and meet track record and minimum asset size requirements as listed below Fund is UCITS compliant; Reports performance net of all fees at least bi-weekly
Minimum Asset Size and/or Track Record for fund inclusion $50 Million minimum or > 12-Month Track Record $50 Million and 24-Month Track Record (typical) $10 Million EUR minimum or > 6-Month Track Record
Index Denomination USD; some hedged to GBP, JPY, CHF & EUR USD; some hedged to GBP, JPY, CHF & EUR EUR; some hedged to GBP, JPY, CHF & USD
Investable Index No HFR Asset Management, LLC constructs investable products that track HFRX Indices No
Constituents Details Available to HFR Database subscribers Available to HFR Database subscribers Not available at this time
Number of Constituent Funds Over 2200 in HFRI Fund Weighted Composite; over 500 in HFRI Fund of Funds Composite Over 250 in total constituent universe, with over 60 of these in the HFRX Global Hedge Fund Index Over 600 funds in the HFRU Hedge Fund Composite Index
Historical Performance Published on HFR website and through various market data services
Performance Table
Excel download
Performance Table
Excel download
Performance Table

Describe the HFRX Indices methodology and construction

The HFRX Indices ("HFRX") are a series of benchmarks of hedge fund industry performance which are engineered to achieve representative performance of a larger universe of hedge fund strategies. Hedge Fund Research, Inc. ("HFR, Inc.") employs the HFRX Methodology (UCITS compliant), a proprietary and highly quantitative process by which hedge funds are selected as constituents for the HFRX Indices. This methodology includes robust classification, cluster analysis, correlation analysis, advanced optimization and Monte Carlo simulations. More specifically, the HFRX Methodology defines certain qualitative characteristics, such as: whether the fund is open to transparent fund investment and the satisfaction of the index manager's due diligence requirements. Production of the HFRX Methodology results in a model output which selects funds that, when aggregated and weighted, have the highest statistical likelihood of producing a return series that is most representative of the reference universe of strategies.

Constituents of HFRX Indices are selected and weighted by the complex and robust process described above. The model output constitutes a sub-set of strategies which are representative of a larger universe of hedge fund strategies, geographic constituencies or groupings of funds maintaining certain specific characteristics.

In order to be considered for inclusion in the HFRX Indices, a hedge fund must be currently open to new transparent investment, maintain a minimum asset size (typically $50 Million) and meet the duration requirement (generally, a 24 month track record). These criteria may vary slightly by index.

  • HFR screens approximately 7,000 hedge funds to identify those firms with at least $50 million AUM and a minimum two-year track record that are also 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 and types of managers to replicate each strategy

  • Selected managers must provide transparency and pass extensive qualitative screening

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

HFRX Methodology Whitepaper
HFRX Indices - Construction and Methodology

Describe the HFRI Monthly Indices methodology and construction

The HFRI Monthly Indices ("HFRI") are a series of benchmarks designed to reflect hedge fund industry performance by constructing equally weighted composites of constituent funds, as reported by the hedge fund managers listed within HFR Database. The HFRI range in breadth from the industry-level view of the HFRI Fund Weighted Composite Index, which encompasses over 2200 funds, to the increasingly specific-level of the sub-strategy classifications.

In order to be considered for inclusion in the HFRI, a hedge fund manager must submit a complete set of information to HFR Database (the listing of required fields for Database inclusion are available here). Funds are eligible for inclusion in the HFRI 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. Additionally, all HFRI constituents are required to report monthly, net of all fees performance and assets under management U.S. dollars. Constituent funds must have either (a) $50 million under management or (b) a track record of greater than twelve (12) months.

The HFRI are fund-weighted (equal-weighted) indices. Unlike asset-weighting, the equal-weighting of indices presents a more general picture of performance of the hedge fund industry. Any bias towards the larger funds potentially created by alternative weightings is greatly reduced, especially for strategies that encompass a small number of funds.

HFRI Methodology Whitepaper
HFRI Indices - Defined Formulaic Methodology

Funds included in the HFRI Monthly Indices must:
  • Report monthly returns
  • Report Net of All Fees Returns
  • Report assets in USD
  • Have at least $50 Million under management or have been actively trading for at least twelve (12) months
Indices Notes:
  • All HFRI Indices are fund weighted (equal weighted).
  • Funds are eligible for inclusion in the HFRI Indices a month after their addition to HFR Database. For instance, a fund that is added to HFR Database in June is eligible for HFRI inclusion starting with July performance
  • The HFRI are updated three times a month: Flash Update (5th business day of the month), Mid Update (15th of the month - or nearest business day afterwards), and End Update (1st business day of following month)

    HFRI Monthly Indices Update Schedule
  • The current month and the prior three months are left as estimates and are subject to change. All performance prior to that is locked and is no longer subject to change.
  • If a fund liquidates/closes, that fund's performance will be included in the HFRI as of that fund's last reported performance update.
  • The HFRI Fund of Funds Index is not included in the HFRI Fund Weighted Composite Index.
  • Both domestic and offshore funds are included in the HFRI.
  • In cases where a manager lists mirrored-performance funds, only the fund with the larger asset size is included in the HFRI.

Describe the HFRU Indices methodology and construction

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 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.

HFRU Methodology Whitepaper
HFRU Indices Methodology

Do the HFRI Monthly Indices include funds running sidepockets?

The HFRI Indices are calculated using net of all fees fund performance as reported to HFR Database, which may or may not include side pocket investments, subject to the below. In situations where different investors can experience different returns on the basis of truly different portfolio holdings & exposures (as opposed to differences in high water marks), we ask funds to report the return experience most closely approximating that of the collective (or most common) experience of investors; if possible, a blended performance which asset weights the different return series (with and without sidepocket) is most useful. Reporting conventions specific to a fund are also typically outlined in offering material. Alternatively, if the side pocket creates or is likely to create meaningful difference in returns for investors, we recommend the creation of distinct, multiple records within the Database (one set of performance without side pocket, one set with side pocket); for the purpose of index inclusion, we would only select the more representative performance. In situations where managers report performance inclusive of side pockets, our guidance would be to do so only in situations in which the side pockets were made available to all investors, current and historical, and where the side pockets were priced and reported monthly.

Are either of the HFRI or HFRX Indices investable?

HFRI: The HFRI Indices are equally weighted performance composites and are not investable through Hedge Fund Research, Inc. or any affiliated companies.

HFRX: The HFRX Indices are not investable through Hedge Fund Research but are investable through Tracker Funds which are constructed by HFR Asset Management, LLC, a registered investment adviser and asset management company. Performance data on the investable products is only available through HFR Asset Management, LLC. Performance data available through Hedge Fund Research, Inc. is a model output and not the performance of the investable products.

How do I obtain a list of constituents for the HFRI and HFRX Indices?

The constituent funds of the HFRI Monthly Indices are currently available within the subscription-based HFR Database. Information on the underlying constituents of the HFRX Indices is currently available to investors of the HFRX Tracker products as well as HFR Database subscribers.

How do I subscribe to the HFR Database?

Contact HFR at 312-658-0955 or database@hfr.com.

Click here to learn more about HFR Database
Click here to learn more about HFR FOF Database & Directory

How often is index performance updated?

HFRI: Three-times-per-month: (1) The "Flash" update is published on the fifth business day of the month; (2) The "mid-month" update is published on 15th of the month (or nearest business day); and (3) the "month-end" update is published on the first business day of the following month. Additionally, the trailing four months of performance are subject to revision as HFR receives updates from lagged funds.

HFRI Monthly Indices Update Schedule

HFRX: Daily performance is available for some, but not all, HFRX Indices. The update frequency of HFRX Index performance can vary by index but all HFRX Indices provide monthly performance returns. HFRX Indices that report on a monthly interval only will be updated on the 1st and the 15th of each month (or nearest business day afterward). When a new month's performance is posted on the 15th (the Mid-Update) - the performance will be posted as an estimate. The Indices performance will then be finalized on the 1st of the following month (the End update).

HFRX Indices that report on a daily interval will post their finalized month-end performance 2 to 3 business days after the last business day of the month. The updated monthly returns will be posted as soon as the values are available.

HFRX Monthly Indices Update Schedule

How often are funds added to the indices?

HFRI: Funds are added to the HFRI on a regular basis as HFR identifies candidates for inclusion.

HFRX: Funds are typically added to the HFRX on a quarterly basis as a result of the HFRX Methodology model.

Fund Managers click here to join HFR Database

When is a fund removed from the HFRI or HFRX Indices and how is survivorship bias taken into consideration?

A fund will be removed from an Index when:
  1. It liquidates, or
  2. The fund manager requests removal from the Database, or
  3. It fails to satisfy the requirements for constituency (as outlined in Methodology section above)
However, a fund's past performance will always remain in its respective index up until the point of liquidation or manager-requested removal from HFR Database. In an effort to limit survivorship bias, HFR exhausts all efforts to receive a fund's performance until the point of final liquidation. This convention provides the most robust characterization of results possible.

Likewise, when a new fund is added to either Index, the historical performance of the new constituent fund will not affect the finalized historical performance of either index. And while the HFRX are finalized upon the date reported, the HFRI are subject to revisions for the trailing four months, although index results are unlikely to be meaningfully impacted by submissions later than 30 days from the end of the performance month. If a non-liquidated fund does not report to HFR Database for three consecutive months, the fund is subject to removal from the HFRI.

Is it possible for a fund to be a constituent of multiple indices?

HFRI: Constituent funds are included in only one substrategy-level index; however, all single-manager constituents are included in the HFRI Fund Weighted Composite and all fund of funds are included in the HFRI Fund of Funds Composite Index.

HFRX: Constituent funds are included in only one strategy-level index; however, most constituents are also included in the HFRX Global and HFRX Equal-Weighted composite indices.

HFRI Strategy Definitions
HFRX Strategy Definitions

What are the limitations on references to and distribution of HFRI and HFRX Index data?

The HFRI and HFRX are both produced as benchmarks of hedge fund industry performance and are intended to be utilized as points of reference for relevant hedge fund products. Specific guidelines are available in the HFR Terms of Use Agreement.

Usage or distribution of the HFRI or the HFRX in a commercial format, for public distribution, or for inclusion in products (as a component of a commercially distributed research report, project or textbook) can only be made available with specific authorization from Hedge Fund Research, Inc. Please direct inquiries to info@hfr.com or call 312-658-0955.

Does a commercial arrangement exist between HFR and the hedge fund managers which report performance of their funds?

Reporting results to HFR Database is voluntary and managers are not compensated financially for their inclusion. Likewise, managers submit their fund and firm information to HFR Database and become visible to HFR Database subscribers at no charge.

How does HFR determine the constituents of the HFRX Diversity Index?

In addition to meeting the basic HFRX Indices construction criteria, the fund must also be minority-owned.

How are the HFRX FX-Hedged Indices calculated?

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.

Are submissions of performance results audited?

HFR makes every effort to ensure performance results are accurate and comply with reporting requirements. Although not required, many hedge fund managers voluntarily provide HFR with fund offering documents and audited financial statements as a testament to their integrity. Internal procedures that identify and correct infrequent data errors are utilized. Hedge fund managers are solely responsible for reporting accurate and timely information to HFR. Since participation in HFR Database is voluntary, as well as for practical reasons, HFR does not perform an independent financial audit of the funds contained in HFR Database.

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

HFRX Indices Weighting Matrix
HFRX Index Ticker Index Weighting
HFRX Absolute Return IndexHFRXARRepresentative Optimization
HFRX Aggregate IndexHFRXAGGREqual-Weighted
HFRX Alternative Energy IndexHFRXALTERepresentative Optimization
HFRX Asia Composite Hedge Fund IndexHFRXASCAsset-Weighted
HFRX Asia Equally Weighted IndexHFRXAEWEqual-Weighted
HFRX Asia ex-Japan IndexHFRXAXJRepresentative Optimization
HFRX Asia with Japan IndexHFRXAWJRepresentative Optimization
HFRX Brazil IndexHFRXBRZLRepresentative Optimization
HFRX BRIC IndexHFRXBRICRepresentative Optimization
HFRX China IndexHFRXCHNRepresentative Optimization
HFRX Diversity IndexHFRXDVRSRepresentative Optimization
HFRX ED: Activist IndexHFRXACTRepresentative Optimization
HFRX ED: Credit Arbitrage IndexHFRXCREDRepresentative Optimization
HFRX ED: Distressed Restructuring IndexHFRXDSRepresentative Optimization
HFRX ED: Merger Arbitrage IndexHFRXMARepresentative Optimization
HFRX ED: Multi-Strategy IndexHFRXEDMSRepresentative Optimization
HFRX ED: Special Situations IndexHFRXSSRepresentative Optimization
HFRX EH: Energy/Basic Materials IndexHFRXEBMRepresentative Optimization
HFRX EH: Equity Market Neutral IndexHFRXEMNRepresentative Optimization
HFRX EH: Fundamental Growth IndexHFRXEHGRepresentative Optimization
HFRX EH: Fundamental Value IndexHFRXEHVRepresentative Optimization
HFRX EH: Multi-Strategy IndexHFRXEHMSRepresentative Optimization
HFRX EH: Quantitative Directional IndexHFRXQDRepresentative Optimization
HFRX EH: Short Bias IndexHFRXSBRepresentative Optimization
HFRX EH: Technology/Healthcare IndexHFRXTHRepresentative Optimization
HFRX Emerging Markets Composite IndexHFRXEMCRepresentative Optimization
HFRX Equal Weighted Strategies CHF IndexHFRXEWCEqual-Weighted
HFRX Equal Weighted Strategies EUR IndexHFRXEWEEqual-Weighted
HFRX Equal Weighted Strategies GBP IndexHFRXEWGEqual-Weighted
HFRX Equal Weighted Strategies IndexHFRXEWEqual-Weighted
HFRX Equal Weighted Strategies JPY IndexHFRXEWJEqual-Weighted
HFRX Equity Hedge EUR IndexHFRXEHEAsset-Weighted
HFRX Equity Hedge IndexHFRXEHRepresentative Optimization
HFRX Event Driven EUR IndexHFRXEDEAsset-Weighted
HFRX Event Driven IndexHFRXEDRepresentative Optimization
HFRX Fixed Income - Credit IndexHFRXFICRepresentative Optimization
HFRX Global Hedge Fund CAD IndexHFRXGLCDAsset-Weighted
HFRX Global Hedge Fund CHF IndexHFRXGLCAsset-Weighted
HFRX Global Hedge Fund EUR IndexHFRXGLEAsset-Weighted
HFRX Global Hedge Fund GBP IndexHFRXGLGAsset-Weighted
HFRX Global Hedge Fund IndexHFRXGLAsset-Weighted
HFRX Global Hedge Fund JPY IndexHFRXGLJAsset-Weighted
HFRX India IndexHFRXINDRepresentative Optimization
HFRX Japan IndexHFRXAJPRepresentative Optimization
HFRX Korea IndexHFRXKORRepresentative Optimization
HFRX Latin America IndexHFRXLARepresentative Optimization
HFRX Macro/CTA EUR IndexHFRXMEAsset-Weighted
HFRX Macro/CTA IndexHFRXMRepresentative Optimization
HFRX Macro: Active Trading IndexHFRXTRADRepresentative Optimization
HFRX Macro: Commodity IndexHFRXCOMRepresentative Optimization
HFRX Macro: Commodity-Agriculture IndexHFRXAGRIRepresentative Optimization
HFRX Macro: Commodity-Energy IndexHFRXENEGRepresentative Optimization
HFRX Macro: Commodity-Metals IndexHFRXMETLRepresentative Optimization
HFRX Macro: Currency IndexHFRXCURRepresentative Optimization
HFRX Macro: Discretionary Thematic IndexHFRXDTRepresentative Optimization
HFRX Macro: Multi-Strategy IndexHFRXMMSRepresentative Optimization
HFRX Macro: Systematic Diversified CTA IndexHFRXSDVRepresentative Optimization
HFRX Market Directional IndexHFRXMDRepresentative Optimization
HFRX MENA IndexHFRXMENARepresentative Optimization
HFRX MLP IndexHFRXMLPRepresentative Optimization
HFRX Multi-Emerging Markets IndexHFRXMEMRepresentative Optimization
HFRX Multi-Region IndexHFRXMREGRepresentative Optimization
HFRX North America IndexHFRXNARepresentative Optimization
HFRX Northern Europe IndexHFRXNERepresentative Optimization
HFRX Opportunity EUR IndexHFRXOPPRepresentative Optimization
HFRX Relative Value Arbitrage EUR IndexHFRXRVAEAsset-Weighted
HFRX Relative Value Arbitrage IndexHFRXRVARepresentative Optimization
HFRX Russia IndexHFRXRUSRepresentative Optimization
HFRX Russia/Eastern Europe IndexHFRXEERepresentative Optimization
HFRX RV: Energy Infrastructure IndexHFRXEINFRepresentative Optimization
HFRX RV: FI-Asset Backed IndexHFRXFABRepresentative Optimization
HFRX RV: FI-Convertible Arbitrage IndexHFRXCARepresentative Optimization
HFRX RV: FI-Corporate IndexHFRXFCORepresentative Optimization
HFRX RV: FI-Sovereign IndexHFRXFSVRepresentative Optimization
HFRX RV: Multi-Strategy IndexHFRXRVMSRepresentative Optimization
HFRX RV: Real Estate IndexHFRXREALRepresentative Optimization
HFRX RV: Volatility IndexHFRXVOLRepresentative Optimization
HFRX RV: Yield Alternative IndexHFRXYARepresentative Optimization
HFRX Total Emerging Market IndexHFRXTEMEqual-Weighted
HFRX Western/Pan Europe IndexHFRXWERepresentative Optimization
NOTE: Representative Optimization means the weighting of the funds in the index is determined by the application of the HFRX Index methodology. Please refer to the HFRX Indices - Construction and Methodology for more details on index construction.

Disclaimer: Information contained herein is subject to change at any time without notice.

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

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