Compare HFR Index Types
What characteristics differentiate the various HFR Index families?
Contact: Indices@hfr.com | HFRI Indices | HFRI 500 Indices | HFRI-I Indices | HFRI Institutional Indices | HFRX Indices | HFRU Indices | HFR Risk Parity Indices | HFR Blockchain Indices | HFR Asset Manager Risk Premia Indices | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Inception | 1990 | 2005 | 2008 | 2008 | Earliest 1998 | 2008 | 2003 | 2015 | 2017 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Weighting |
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Reporting Style | Net of all fees | Net of all fees | Net of all fees | Net of all fees | Net of all fees | Net of all fees | Net of all fees | Net of all fees | Net of all fees | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Performance Time Series Available | Monthly | Monthly | Daily | Monthly | Daily or Monthly | Daily | Monthly | Monthly | Daily | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Index Rebalanced | Annually | Quarterly | Quarterly | Annually | Quarterly | Quarterly | Annually | Annually | Quarterly | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investable Index | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
UCITS Compliant | No | No | Yes | No | Yes | Yes | No | No | Yes | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Adheres to IOSCO principles | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESMA Registered | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Index Denomination | USD FX Hedged |
USD FX Hedged |
USD | USD | USD FX Hedged |
EUR FX Hedged |
USD | USD | USD | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Minimum Asset Size and/or Track Record for Fund Inclusion |
$10 million | n/a | $30 Million AND > 6 month track record |
> $500 Million | $50 Million AND 24 month track record |
EUR 10 Million minimun OR 6-month track record |
No minimum; Institutional variations require AUM of USD $500 Million at time of inclusion |
No Minimum | n/a | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Index Performance Finalized | Reported twice as estimates before being finalized |
Reported twice as estimates before being finalized |
Final when published | Reported twice as estimates before being finalized |
Daily performance final when published. |
Reported as estimates for trailing 5 days, then finalized |
Reported twice as estimates before being finalized |
Reported twice as estimates before being finalized |
Final when published | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Customization Available | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Monthly-reporting HFR Indices Update Schedules
Indices | Publication Schedule | Details |
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Flash Estimate | 5th US business day of the month |
Mid Estimate | 15th of month or nearest US business day thereafter | |
Final | Third to last US business day of the month |
HFRI FOF Indices | Publication Schedule | Details |
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HFRI FOF Indices | Flash Estimate | 5th US business day of the month |
Mid-Estimate | 15th of month or nearest US business day afterwards | |
End Estimate | 1st US business day of following month | |
Ongoing Estimates | Subject to revision for 3 more months | |
Finalized | 1st US business day of 5th month |
HFRX Indices | Publication Schedule | Details |
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HFRX Indices (Flagship Funds) | Initial Estimate | 15th of Month (after month end) or nearest US business day afterwards |
Final | Third to last US business day of the month |
Daily-reporting HFR Indices Update Schedules
Index Type | Publication Schedule | Details |
HFRX Indices (UCITS) | Final when reported | Reported on a T+1 basis |
HFRI-I Liquid Alternative Indices | Final when reported | Reported on a T+1 basis |
HFR Asset Manager Risk Premia Indices | Final when reported | Reported on a T+1 basis |
HFRU Indices | 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 |