HFRU Indices Performance Tables
The HFRU® Indices are performance benchmarks comprised of alternative investment strategies compliant with established UCITS guidelines.
The HFRU Indices are published on a daily T+1 basis.
NOTICE: HFR’s offices will be closed on Thursday, July 4th, in observance of the US Independence Day holiday. We will not report any index performance on that day. HFRU Index Performance for July 3rd and July 4th will be posted on July 5th.
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FX-HEDGED and USD INDICES
| Daily Performance as of 2024-11-19 | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| Favorites Status | Index Name | DTD | MTD | YTD | Index Value | Oct 2024 | YTD | Last 12M | Last 36M (ann %) |
| HFRU Hedge Fund Composite CHF Index | -0.0170 | 0.10 | 0.24 | Value blurred out. | -1.37 | 0.08 | Value blurred out. | Value blurred out. | |
| HFRU Hedge Fund Composite GBP Index | -0.0141 | 0.32 | 3.67 | Value blurred out. | -1.02 | 3.27 | Value blurred out. | Value blurred out. | |
| HFRU Hedge Fund Composite JPY Index | -0.0322 | 0.05 | -1.14 | Value blurred out. | -1.53 | -1.25 | Value blurred out. | Value blurred out. | |
| HFRU Hedge Fund Composite USD Index | -0.0073 | 0.32 | 3.94 | Value blurred out. | -0.98 | 3.54 | Value blurred out. | Value blurred out. | |
HFRU INDICES (EUR)
| Daily Performance as of 2024-11-19 | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| Favorites Status | Index Name | DTD | MTD | YTD | Index Value | Oct 2024 | YTD | Last 12M | Last 36M (ann %) |
| HFRU Hedge Fund Composite Index | -0.0097 | 0.24 | 2.47 | Value blurred out. | -1.14 | 2.16 | Value blurred out. | Value blurred out. | |
| HFRU Equity Hedge Index | -0.0315 | 0.04 | 3.52 | Value blurred out. | -1.05 | 3.36 | Value blurred out. | Value blurred out. | |
| HFRU Event Driven Index | -0.0043 | -0.45 | 1.10 | Value blurred out. | -0.75 | 1.49 | Value blurred out. | Value blurred out. | |
| HFRU Macro Index | -0.0449 | 0.66 | 0.11 | Value blurred out. | -1.82 | -0.52 | Value blurred out. | Value blurred out. | |
| HFRU Relative Value Arbitrage Index | 0.0756 | 0.60 | 2.95 | Value blurred out. | -0.82 | 2.29 | Value blurred out. | Value blurred out. | |
| HFRU Equal Weighted Strategies Index | -0.0013 | 0.21 | 1.92 | Value blurred out. | -1.11 | 1.71 | Value blurred out. | Value blurred out. | |
HFRU Index Methodology
The HFRU Indices are performance benchmarks comprised of alternative investment strategies compliant with established UCITS guidelines.
The HFRU Indices are designed to be representative of the full universe of UCITS alternative investment strategies and are published on a daily T+1 basis.
HFRU Index Eligibility Criteria
Funds have to meet all of the following criteria in order to be included in the HFRU Indices:
- Fund is confirmed to be UCITS compliant
- Performance reported net of all fees
- Fund reports NAV at least every two weeks.
- 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 may not be 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 Index methodology was last updated effective February 27, 2024. Please review the published Defined Formulaic Methodology pdf document on this page for details.
CORRECTION NOTICE: The May 20, 2024 performance of all HFRU Indices was revised and republished on May 29, 2024.
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CORRECTION NOTICE: HFRU Index performance figures for the dates ranging from November 25, 2022 to November 30, 2022 were revised and republished on December 9, 2022.
—–>More on HFRU Indices
HFR Index Direct
The HFR Index Direct licensing program allows licensees to receive comprehensive access to the most complete and updated performance and constituent information available for client benchmarking and performance evaluation purposes. The licensing program also addresses many of the data provisioning requirements that financial institutions are concerned with when disseminating financial and benchmark data.
Update Schedule
HFRU Indices are not published for days which are bank holidays in Luxembourg or Ireland. If both Luxembourg and Ireland exchanges are closed, no performance for the HFRU will be published for that day. If only one of the exchanges is closed on a given day, but the other one remains open, an Index value will be published. However, HFR reserves the right to decline to publish performance for a day where the total number of funds reporting does not produce a viable and representative universe. HFRU Indices are not reported on US bank holidays, but on the next following US business day.
| Index Type | Publication Schedule | Details |
| HFRU Indices – daily reporting | First Estimate | Reported on a T+1 basis |
| Ongoing Estimates |
Subject to revision for 5 business days | |
| Finalized | Finalized after 5 business days have elapsed |
Daily HFRU Index performance will not be published for the following days which are business holidays for the Irish Stock Exchange or the Luxembourg Stock Exchange:
| 2024 Luxembourg and Ireland Market Holiday | Date |
| New Years Day | Monday, January 1, 2024 |
| Good Friday | Friday, March 29, 2024 |
| Easter Monday | Monday, April 1, 2024 |
| Labour Day | Wednesday, May 1, 2024 |
| Christmas Day | Wednesday, December 25, 2024 |
| Boxing Day | Thursday, December 26, 2024 |
| New Years Day | Wednesday, January 1, 2025 |
HFR’s offices will be closed and daily HFR Index performance will not be reported on NYSE US business holidays. Performance will be reported on the following business day.
| 2024 NYSE US Business Holiday | Date |
| New Year’s Day | Monday, January 1, 2024 |
| Martin Luther King, Jr. Day | Monday, January 15, 2024 |
| Presidents’ Day | Monday, February 19, 2024 |
| Good Friday | Friday, March 29, 2024 |
| Memorial Day | Monday, May 27, 2024 |
| Juneteenth | Wednesday, June 19, 2024 |
| Independence Day | Thursday, July 4, 2024 |
| Labor Day | Monday, September 2, 2024 |
| Thanksgiving | Thursday, November 28, 2024 |
| Christmas | Wednesday, December 25, 2024 |
| New Years Day | Wednesday, January 1, 2025 |
For more information on HFR Indices publication schedules please contact us.
Index Descriptions
HFR has constructed a robust alternative investment strategy classification system to define strategy, sub-strategy and regional investment focus categories for use in index construction.
The HFRU Equal Weighted Strategies Index is designed to be representative of the overall composition of the UCITS-Compliant hedge fund universe. It is computed as an average of eligible hedge fund strategies: equity hedge, event driven, macro, and relative value arbitrage. The underlying constituents within each strategy are equally weighted. The HFRU Indices are rebalanced on a quarterly basis. The HFRU Equal Weighted Strategies Index is denominated in EUR.
The HFRU Equity Hedge Index is designed to be representative of the Equity Hedge strategy of the UCITS-Compliant alternative investment strategy universe. The underlying constituents are equally weighted. The HFRU Indices are rebalanced on a quarterly basis. The HFRU Equity Hedge Index is denominated in EUR.
The HFRU Event Driven Index is designed to be representative of the Event Driven strategy of the UCITS-Compliant alternative investment strategy universe. The underlying constituents are equally weighted. The HFRU Indices are rebalanced on a quarterly basis. The HFRU Event Driven Index is denominated in EUR.
The HFRU Hedge Fund Composite CHF Index is designed to be representative of the overall composition of the UCITS-compliant alternative investment strategy universe. It is comprised of all eligible alternative investment strategies; including, but not limited to equity hedge, event driven, macro, and relative value arbitrage. The underlying constituents are equally weighted. The HFRU Indices are rebalanced on a quarterly basis. The HFRU Hedge Fund Composite CHF Index is denominated in CHF.
The HFRU Hedge Fund Composite GBP Index is designed to be representative of the overall composition of the UCITS-compliant alternative investment strategy universe. It is comprised of all eligible alternative investment strategies; including, but not limited to equity hedge, event driven, macro, and relative value arbitrage. The underlying constituents are equally weighted. The HFRU Indices are rebalanced on a quarterly basis. The HFRU Hedge Fund Composite GBP Index is denominated in GBP.
The HFRU Hedge Fund Composite Index is designed to be representative of the overall composition of the UCITS-Compliant alternative investment strategy universe. It is comprised of all eligible alternative investment strategies; including but not limited to equity hedge, event driven, macro, and relative value arbitrage. The underlying constituents are equally weighted. The HFRU Indices are rebalanced on a quarterly basis. The HFRU Hedge Fund Composite Index is denominated in EUR.
The HFRU Hedge Fund Composite JPY Index is designed to be representative of the overall composition of the UCITS-compliant alternative investment strategy universe. It is comprised of all eligible alternative investment strategies; including, but not limited to equity hedge, event driven, macro, and relative value arbitrage. The underlying constituents are equally weighted. The HFRU Indices are rebalanced on a quarterly basis. The HFRU Hedge Fund Composite JPY Index is denominated in JPY.
The HFRU Hedge Fund Composite USD Index is designed to be representative of the overall composition of the UCITS-compliant alternative investment strategy universe. It is comprised of all eligible alternative investment strategies; including, but not limited to equity hedge, event driven, macro, and relative value arbitrage. The underlying constituents are equally weighted. The HFRU Indices are rebalanced on a quarterly basis. The HFRU Hedge Fund Composite USD Index is denominated in USD.
The HFRU Macro Index is designed to be representative of the Macro strategy of the UCITS-compliant alternative investment strategy universe. The underlying constituents are equally weighted. The HFRU Indices are rebalanced on a quarterly basis. The HFRU Macro Index is denominated in EUR.
The HFRU Relative Value Arbitrage Index is designed to be representative of the Relative Value Arbitrage strategy of the UCITS-compliant alternative investment strategy universe. The underlying constituents are equally weighted. The HFRU Indices are rebalanced on a quarterly basis. The HFRU Relative Value Arbitrage Index is denominated in EUR.
Index Characteristics
| Favorites Status | Index Name | Ticker | Strategy | Sub-Stategy | Region | Weighting | Currency | Reporting Interval |
|---|---|---|---|---|---|---|---|---|
| HFRU Equal Weighted Strategies Index | HFRUEWS | Composite | Composite | Global | Equal-Weighted | EUR | Daily | |
| HFRU Equity Hedge Index | HFRUEH | Equity Hedge | Composite | Global | Equal-Weighted | EUR | Daily | |
| HFRU Event Driven Index | HFRUED | Event Driven | Composite | Global | Equal-Weighted | EUR | Daily | |
| HFRU Hedge Fund Composite CHF Index | HFRUHFCC | Composite | Composite | Global | Equal-Weighted | CHF | Daily | |
| HFRU Hedge Fund Composite GBP Index | HFRUHFCG | Composite | Composite | Global | Equal-Weighted | GBP | Daily | |
| HFRU Hedge Fund Composite Index | HFRUHFC | Composite | Composite | Global | Equal-Weighted | EUR | Daily | |
| HFRU Hedge Fund Composite JPY Index | HFRUHFCJ | Composite | Composite | Global | Equal-Weighted | JPY | Daily | |
| HFRU Hedge Fund Composite USD Index | HFRUHFCU | Composite | Composite | Global | Equal-Weighted | USD | Daily | |
| HFRU Macro Index | HFRUM | Macro | Composite | Global | Equal-Weighted | EUR | Daily | |
| HFRU Relative Value Arbitrage Index | HFRURVA | Relative Value | Composite | Global | Equal-Weighted | EUR | Daily |
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