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Compare HFR Index Types

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
✓ Equal-Weighted
✓ Asset-Weighted
Strategy-Weighted
Representative Optimization
✓ Equal-Weighted
Asset-Weighted
Strategy-Weighted
Representative Optimization
✓ Equal-Weighted
Asset-Weighted
Strategy-Weighted
Representative Optimization
✓ Equal-Weighted
Asset-Weighted
Strategy-Weighted
Representative Optimization
✓ Equal-Weighted
Asset-Weighted
✓ Strategy-Weighted
Representative Optimization
✓ Equal-Weighted
✓ Asset-Weighted
Strategy-Weighted
✓ Representative Optimization
✓ Equal-Weighted
Asset-Weighted
Strategy-Weighted
Representative Optimization
✓ Equal-Weighted
Asset-Weighted
✓ Strategy-Weighted
Representative Optimization
✓ Equal-Weighted
Asset-Weighted
Strategy-Weighted
Representative Optimization
✓ Equal-Weighted
Asset-Weighted
Strategy-Weighted
Representative Optimization
✓ Equal-Weighted
Asset-Weighted
Strategy-Weighted
Representative Optimization
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.
Monthly-only performance reported once
as an estimate before being finalized 		 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

HFR Index Family Update Schedules

Monthly

Indices Publication Schedule Details
  • HFRI Indices 
  • HFRI 500 Indices
  • HFRI 400 (US) Indices
  • HFRI Institutional Indices
  • HFR Risk Parity Indices
  • HFR Blockchain Indices
  • HFR FOF Vol (S) Indices
 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

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

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