Compare HFR Index Types
What characteristics differentiate the various HFR Index families?
| Contact: Indices@hfr.com | HFRI Indices | HFRI 500 Indices | HFRI 400 (US) Indices | HFRI-I Indices | HFRI Institutional Indices | HFRX Indices | HFRU Indices | HFRI FOF (S) Indices | HFR Risk Parity Indices | HFR Blockchain Indices | HFR Asset Manager Risk Premia Indices | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Inception | 1990 | 2005 | 2005 | 2008 | 2008 | Earliest 1998 | 2008 | 2005 | 2003 | 2015 | 2017 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Weighting |
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 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 | Net of all fees | Net of all fees | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Performance Time Series Available | Monthly | Monthly | Monthly | Daily | Monthly | Daily or Monthly | Daily | Monthly | Monthly | Monthly | Daily | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Index Rebalanced | Annually | Quarterly | Quarterly | Quarterly | Annually | Quarterly | Quarterly | Quarterly | Annually | Annually | Quarterly | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Investable Index | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| UCITS Compliant | No | No | No | Yes | No | Yes | Yes | No | No | No | Yes | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Adheres to IOSCO principles | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| ESMA Registered | Yes | Yes | No | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Index Denomination | USD FX Hedged |
USD FX Hedged |
USD | USD | USD | USD FX Hedged |
EUR FX Hedged |
USD | USD | USD | USD | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Minimum Asset Size and/or Track Record for Fund Inclusion |
$10 million | n/a | 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 |
n/a | 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 |
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 |
Reported twice as estimates before being finalized |
Final when published | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Customization Available | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Monthly-reporting HFR Indices Update Schedules
| Indices | Publication Schedule | Details |
|---|---|---|
|
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 |
|---|---|---|
| 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 |
|---|---|---|
| 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 |