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HFRI Hedge Fund Indices

HFRI Indices - New Classifications


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View HFRI Indices HFRI Index Methodology HFRI Index Methodology HFR Strategy Definitions HFR Indices FAQ HFR Index Redistribution Licensing
New HFRI Indices Classifications
HFR reclassified its universe of hedge funds effective as of the publication of the January 2008 performance of the HFRI Indices.

Hedge Fund Research, Inc. has constructed a new accurate, relevant, robust and contemporaneous Strategy Classification System for all investment managers present in the HFR Database. The classifications reflect the evolution of strategic trends in the hedge fund industry, cognizant of the reality that over market cycles the classification system is likely to continue to evolve, as new opportunities attract investor capital. The objective of the 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.

All indices are now directly derived from a fund's strategy, sub-strategy and geographic designation in HFR Database. Please note that while there were changes to the HFRI Index names and a change to the Index constituencies, HFR did not restate the past performance of any index. However, in order to effect the reclassification system, the constituents of certain indices were merged into other indices as appropriate, according to their new strategy classification (see table below).


NOTES:

HFR did not restate the past performance of any index.

The constituents of eight previously-published indices were merged into other indices.

As per HFRI Index methodology: The HFRI Indices are updated three times a month: Flash Update (5th business day of the month), Mid Update (15th of the month - or nearest business day), 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.

Please click here to review the new Strategy Definitions

View complete overview on HFR Strategy Classifications & Regional Investment Focus (.pdf)



Old HFRI Index Name New HFRI Index Name
HFRI Convertible Arbitrage Index HFRI RV: Fixed Income - Convertible Arbitrage Index
HFRI Distressed Securities Index HFRI ED: Distressed/Restructuring Index
HFRI Emerging Markets (Total) HFRI Emerging Markets (Total) Index
HFRI Emerging Markets: Asia Index HFRI Emerging Markets: Asia ex-Japan Index
HFRI Emerging Markets: Eastern Europe/CIS Index HFRI Emerging Markets: Russia/Eastern Europe Index
HFRI Emerging Markets: Global Index HFRI Emerging Markets: Global Index
HFRI Emerging Markets: Latin America Index HFRI Emerging Markets: Latin America Index
HFRI Equity Hedge Index HFRI Equity Hedge (Total) Index
HFRI Equity Market Neutral Index HFRI EH: Equity Market Neutral Index
HFRI Equity Market Neutral Index: Statistical Arbitrage Merged into: HFRI EH: Equity Market Neutral Index
HFRI Equity Non-Hedge Index HFRI EH: Quantitative Directional
HFRI Event-Driven Index HFRI Event-Driven (Total) Index
HFRI Fixed Income (Total) HFRI RV: Multi-Strategy Index
HFRI Fixed Income: Arbitrage Index Merged into: HFRI RV: Fixed Income - Corporate Index
HFRI Fixed Income: Convertible Bonds Index Merged into: HFRI RV: Fixed Income - Convertible Arbitrage Index
HFRI Fixed Income: Diversified Index Merged into: HFRI RV: Multi-Strategy Index
HFRI Fixed Income: High Yield Index HFRI RV: Fixed Income - Corporate Index
HFRI Fixed Income: Mortgage-Backed Index HFRI RV: Fixed Income - Asset Backed
HFRI FOF: Conservative Index HFRI FOF: Conservative Index
HFRI FOF: Diversified Index HFRI FOF: Diversified Index
HFRI FOF: Market Defensive Index HFRI FOF: Market Defensive Index
HFRI FOF: Strategic Index HFRI FOF: Strategic Index
HFRI Fund of Funds Composite Index HFRI Fund of Funds Composite Index
HFRI Fund Weighted Composite Index HFRI Fund Weighted Composite Index
HFRI Macro Index HFRI Macro (Total) Index
HFRI Market Timing Index HFRI Macro: Systematic Diversified Index
HFRI Merger Arbitrage Index HFRI ED: Merger Arbitrage Index
HFRI Regulation D Index HFRI ED: Private Issue/Regulation D Index
HFRI Relative Value Arbitrage Index HFRI Relative Value (Total) Index
HFRI Sector (Total) Merged into: HFRI Equity Hedge (Total) Index
HFRI Sector: Energy Index HFRI EH: Sector - Energy/Basic Materials Index
HFRI Sector: Financial Index Merged into: HFRI Equity Hedge (Total) Index
HFRI Sector: Health Care/Biotechnology Index Merged into: HFRI EH: Sector - Technology/Healthcare Index
HFRI Sector: Miscellaneous Index Merged into: HFRI EH: Sector - Energy/Basic Materials Index
HFRI Sector: Real Estate Index HFRI RV: Yield Alternatives Index
HFRI Sector: Technology Index HFRI EH: Technology/Healthcare Index
HFRI Short Selling Index HFRI EH: Short Bias Index


HFR Strategy Classifications
Main Strategies / Sub-Strategies
Equity Hedge (EH) Event Driven (ED) Macro Relative Value (RV)
Equity Market Neutral Activist Active Trading Fixed Income: Asset Backed
Fundamental Growth Credit Arbitrage
Commodity: Agriculture
Fixed Income: Convertible Arbitrage
Fundamental Value Distressed/Restructuring
Commodity: Energy
Fixed Income: Corporate
Quantitative Directional Merger Arbitrage
Commodity: Metals
Fixed Income: Sovereign
Short Bias Private Issue/Regulation D
Commodity: Multi
Volatility
Sector: Energy/Basic Materials Special Situations Currency: Discretionary Yield Alternatives: Energy Infrastructure
Sector: Technology/Healthcare Multi-Strategy Currency: Systematic Yield Alternatives: Real Estate
Multi-Strategy   Discretionary Thematic Multi-Strategy
    Systematic Diversified  
    Multi-Strategy  
       
  Fund of Hedge Funds Strategy Classifications  
  Conservative  
  Diversified  
  Market Defensive  
  Strategic  
       


HFR Strategy Definitions Regional Investment Focus






Methodology:

HFR's Regional Investment Focus is designed to reflect the primary focus of the Fund's strategic exposure, over various market cycles, independent of the investment manager's physical location or the domiciled registration location of the fund. The Regions have been constructed based on primary continental economic association, as well as actual continental geographic location. In completing a fund profile for inclusion in HFR Database, an investment manager qualitatively selects one of the four following primary Regions:

While most strategies in some manner do contain exposures outside of the primary region, we encourage managers to classify strategies on the basis of the expected primary focus (containing greater than 50% of portfolio exposure) over a number of market cycles.

In addition, we also request sub-regional classification, defined as follows:



Asia

Japan - Primary focus on Japan, typically >75% exposure.
Asia ex-Japan - Primary focus on Asia, typically with <10% exposure in Japan.
Asia w/Japan - Primary focus on Asia, with between 10% and 75% exposure in Japan.

Europe

Western Europe / UK - Primary focus in region, with greater than 50% exposure in these areas.
Russia / Eastern Europe - Primary focus in region, with greater than 50% exposure in these areas.
Northern Europe - Primary focus in region, typically >50% exposure
Pan European - > 75% exposure in all European regions.

Americas

North America - Primary focus, with greater than 50% exposure in these areas.
Latin America - Primary focus, with greater than 50% exposure in these areas.
Pan American > 75% exposure in the Americas.

Other

Africa - Greater than 50% exposure in African region.
Middle East - Greater than 50% exposure in Middle East region.
Global - No greater than 50% exposure in any specific geographic region.
Multiple Emerging Markets - No greater than 50% exposure in any specific emerging market.

Geographic Classification notes:

Asia - Includes a diverse range of nations that border the Pacific and Indian oceans. For our purposes the nations that transverse this region include: Japan, China, Korea, Australia, India, Hong Kong, Singapore, etc...

Europe - Includes Western, Eastern and Northern European (Scandinavian) nations, as well as Russia and Turkey

Americas - North America includes the USA, Canada and Greenland. Latin America includes Mexico, Central and South America as well as the nations of the Caribbean.

Africa - Includes all of Africa except for Egypt which is classified as Middle East

Middle East - for our purposes this area ranges from Egypt to Israel to Syria to Iran and includes all the nations of the Arabian Peninsula

Other - HFR reserves the inclusion of a fund in "Global" to those funds which have no greater than 50% exposure to ANY of the more-specific geographic regions provided and the inclusion of a fund in "Multiple Emerging Markets" to those funds which have no greater than 50% exposure to ANY of the more-specific emerging markets regions provided.

View Strategy and Regional Hierarchy (.pdf)



HFRI Indices - ticker symbols
HFRIFWI HFRI Fund Weighted Composite Index
HFRIFWIC HFRI Fund Weighted Composite Index - CHF
HFRIFWIE HFRI Fund Weighted Composite Index - EUR
HFRIFWIG HFRI Fund Weighted Composite Index - GBP
HFRIFWIJ HFRI Fund Weighted Composite Index - JPY
HFRIEHI HFRI Equity Hedge (Total) Index
HFRIEMNI HFRI EH: Equity Market Neutral Index
HFRIENHI HFRI EH: Quantitative Directional
HFRISEN HFRI EH: Sector - Energy/Basic Materials Index
HFRISTI HFRI EH: Sector - Technology/Healthcare Index
HFRISHSE HFRI EH: Short Bias Index
HFRIEM HFRI Emerging Markets (Total) Index
HFRIEMA HFRI Emerging Markets: Asia ex-Japan Index
HFRIEMG HFRI Emerging Markets: Global Index
HFRIEMLA HFRI Emerging Markets: Latin America Index
HFRICIS HFRI Emerging Markets: Russia/Eastern Europe Index
HFRIEDI HFRI Event-Driven (Total) Index
HFRIDSI HFRI ED: Distressed/Restructuring Index
HFRIMAI HFRI ED: Merger Arbitrage Index
HFRIREGD HFRI ED: Private Issue/Regulation D Index
HFRIFOF HFRI Fund of Funds Composite Index
HFRIFOFC HFRI FOF: Conservative Index
HFRIFOFD HFRI FOF: Diversified Index
HFRIFOFM HFRI FOF: Market Defensive Index
HFRIFOFS HFRI FOF: Strategic Index
HFRIMI HFRI Macro (Total) Index
HFRIMTI HFRI Macro: Systematic Diversified Index
HFRIRVA HFRI Relative Value (Total) Index
HFRIFIMB HFRI RV: Fixed Income-Asset Backed
HFRICAI HFRI RV: Fixed Income-Convertible Arbitrage Index
HFRIFIHY HFRI RV: Fixed Income-Corporate Index
HFRIFI HFRI RV: Multi-Strategy Index
HFRISRE HFRI RV: Yield Alternatives Index


HFRI Fund Weighted Composite Index         HFRI Methodology ::: FAQ
Includes over 2200 constituent funds Includes both domestic and offshore funds
Equal-weighted Index All funds report assets in USD
No Fund of Funds included in Index All funds report Net of All Fees returns on a monthly basis
Have at least $50 Million under management or have been actively trading for at least twelve (12) months


HFRI Fund of Funds Composite Index         HFRI Methodology ::: FAQ
Includes over 500 constituent funds Includes both domestic and offshore funds
Equal-weighted Index All funds report assets in USD
Only Fund of Funds included in Index All funds report Net of All Fees returns on a monthly basis
Have at least $50 Million under management or have been actively trading for at least twelve (12) months


Notes on HFRI Emerging Markets Indices
HFRI Emerging Markets (Total) Index

HFRI Emerging Markets: Asia ex-Japan Index

HFRI Emerging Markets: Global Index

HFRI Emerging Markets: Russia/Eastern Europe Index

HFRI Emerging Markets: Latin America Index


Please note that HFRI Emerging Markets (Total) Index is a fund-weighted composite of all Emerging Markets funds.
The constituents of the HFRI Emerging Markets Indices are selected according to their Regional Investment Focus only. There is no Investment Strategy criteria for inclusion in these indices.

Funds classified as Emerging Markets have a regional investment focus in one of the following geographic areas: Asia ex-Japan, Russia/Eastern Europe, Latin America, Africa or the Middle East. Funds with no primary focus in any of the aforementioned regions are classified as Global.
At the current time HFR does not publish separate indices for funds focused in the Africa and Middle East regions. However, these funds are represented in the HFRI Emerging Markets (Total) Index.



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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.



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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.


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