HFR Indices FAQ

The following HFR Indices are investable:

• HFRI 500 Hedge Fund Indices
• HFRI 400 Hedge Fund Indices
• HFRI Institutional Indices
• HFRI-I Liquid Alternative UCITS Indices
• HFRX Indices
• HFRU Indices
• HFR Risk Parity Indices
• HFR Blockchain Indices

To learn more about investable HFR Index products contact Indices@hfr.com

The constituent funds of the HFRI, HFRX, HFRU, HFRI-I, HFR Blockchain, and HFR Risk Parity Indices are currently available within the subscription-based HFR Database.

For more information on acquiring a list HFR Index constituents please contact HFR at +1-312-658-0955 or database@hfr.com.

Monthly-reporting HFR Indices: Except for the HFRX Indices, HFR Indices which are reported on a monthly interval are published twice as estimates before being finalized: The Flash Update (fifth US business day after month end), Mid Update (15th of the month – or nearest US business day afterwards), and the Final Update (third to last US business day of the month).

HFRX Indices: Daily-reporting HFRX Indices are published on a T+1 basis.

HFRX Indices (Flagship Funds) that report on a monthly interval only will be updated on the 1st business day of the month 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 Index performance will then be finalized on the first business day of the following month (the End update).

HFRU Indices: Report performance daily on a T+1 basis. Index performance is then subject to revision for 5 business days and finalized after 5 business days have elapse.

HFRU Indices are not published for days which are bank holidays in Luxembourg or Ireland. HFRU Indices are not reported on US bank holidays.

HFRI-I Indices: Are published on a T+1 basis.

HFR Asset Manager Risk Premia Indices: Are published on a T+1 basis.

HFRI Indices: The HFRI Indices are rebalanced on an annual basis with funds added or removed within that time only under the limited conditions described in the index methodology.

HFRI 500 Indices: The HFRI 500 Indices are rebalanced on an quarterly basis with funds added or removed within that time only under the limited conditions described in the index methodology.

HFRI 400 Indices: The HFRI 400 Indices are rebalanced on an quarterly basis with funds added or removed within that time only under the limited conditions described in the index methodology.

HFRX Indices: Funds may be added/removed from the HFRX Indices on a quarterly basis according to index methodology.

HFRU Indices: Funds may be added/removed from the HFRU Indices on a quarterly basis according to index methodology.

HFR Risk Parity Indices: The HFR Risk Parity Indices are rebalanced on an annual basis with funds added or removed within that time only under the limited conditions described in the index methodology.

HFR Blockchain Indices: The HFR Blockchain Indices are rebalanced on an annual basis with funds added or removed within that time only under the limited conditions described in the index methodology.

HFRI Indices: Funds can contribute performance to more than one index. For example, a hedge fund engaged in Active Trading with a regional investment focus of China will be included in:

1. HFRI Emerging Markets China Index
2. HFRI Emerging Markets (Total) Index
3. HFRI Macro: Active Trading Index
4. HFRI Macro (Total) Index
5. HFRI Fund Weighted Composite Index

Please note that each index is calculated separately and therefore a fund can only be included once per index.

HFRX Indices: 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.

HFRU Indices: Constituent funds are included in only one strategy-level index as well as the Composite Index. Please note that each index is calculated separately and therefore a fund can only be included once per index.

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.

The HFR Indices are produced as benchmarks of hedge fund industry performance and may be reviewed for non-commercial internal research purposes. Specific guidelines are available in the HFR Indices Terms of Use Agreement.

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. Contact HFR for more information.

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.

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

Definition of minority-owned business as criteria for inclusion in HFR’s Diversity Universe

A hedge fund management company is deemed to be a minority-owned business if: Greater than 50% of the management company is owned by one or more minorities, or in the case of a publicly owned business, greater than 50% of all issued stock is owned by one or more minorities; and whose management and daily business operations are controlled by one or more such individuals.

A ‘minority’ is defined for our purposes as a U.S. citizen who is: (A) a woman; or (B) a person whose origin is from one of the following minority groups:

1. African-American: a U.S. citizen whose origin is from any of the racial groups of Sub-Sahara Africa;
2. Hispanic-American: a U.S. citizen whose origin is from any of the Spanish-speaking countries of Latin America, Mexico, Central America, South America, the Caribbean and Brazil (Afro-Brazilian and Brazilian Indians only);
3. American Indian: a U.S. citizen whose origin is from Eskimo, Aleut, or Native Hawaiian, or Native Americans. Native Americans must be documented members of a North American tribe, band or organized group of native people indigenous to the continental United States;
4. Asian-American, Pacific Islanders, Asian Indian-Americans: a U.S. citizen whose origin is from Bangladesh, Cambodia, China, Guam, India, Indonesia, Japan, Korea, Laos, Malaysia, Pakistan, the Philippines, Samoa, Thailand, Sri Lanka, Taiwan, the U.S. Trust Territories of the Pacific or the Northern Marianas and Vietnam.

The values for our various FX-Hedged Indices are calculated by applying to the USD index value the cost of a rolling monthly foreign exchange contract on the relevant currency.