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HFRI Indices


HFRI Hedge Fund Indices

HFRI Methodology

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HFRI Methodology HFR Indices Basic Methodology and FAQ

HFRI Indices - Defined Formulaic Methodology

Most HFRI Monthly Indices (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. Asset-weighted versions of certain HFRI Indices offer an additional perspective on the same universe, whereby funds with greater AUM have a larger impact on the index performance.

The HFRI Indices are utilized by numerous hedge fund managers as a benchmark for their own hedge funds. The HFRI are broken down into 4 main strategies, each with multiple substrategies. All single-manager HFRI Index constituents are included in the HFRI Fund Weighted Composite, which accounts for over 2100 funds listed on the internal HFR Database. Due to mutual agreements with the hedge fund managers listed in the HFR Database, we are not at liberty to disclose the particular funds behind any index to non-database subscribers.

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:
  • Most HFRI Indices are fund weighted (equal weighted).

  • The constituent funds of the HFRI Asset Weighted Indices correspond to those of the (fund weighted) HFRI Indices with the funds weighted according to the AUM figures reported by each fund for the prior month.

  • 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.

  • 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)

  • 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.

  • FX-hedged versions of HFRI Indices are calculated by applying to the USD index value the cost of a rolling monthly foreign exchange contract on the relevant currency.

  • Information on the January 2008 Reclassification of the HFRI Indices

For questions concerning the HFRI Monthly Indices, please contact the HFR Research Staff at (312) 658-0955 or e-mail us at indices@hfr.com.

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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