Compare HFR Index Types
What characteristics differentiate the various HFR Index families?
| HFRI Indices | HFRI 500 Indices | HFRI-I Indices | HFRI Institutional Indices | HFRX Indices | HFRU Indices | HFR Risk Premia Indices | HFR Risk Parity Indices | HFR Blockchain Indices | |
| Inception | Varies by index (Earliest 1990) |
Since 2013 | Since 2008 | Since 2008 | Varies by index (Earliest 1998) |
Since 2008 | Varies by index (Earliest 2006) |
Varies by index (Earliest 2003) |
Since 2015 |
| Weighting | Most Equal-weighted; Five Asset-weighted Indices | Equal-weighted | Equal-weighted | Equal-weighted; Strategy-Weighted | Varies by index | Equal-weighted | Inverse-volatility weighted | Equal-weighted (Annual Rebalance) | Equal-weighted (Quarterly Rebalance) |
| 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 costs | Net of all fees | Net of all fees |
| Performance Time Series Available | Monthly | Monthly | Daily | Monthly | Daily or Monthly | Daily since 2011 Monthly since 2008 |
Daily | Monthly | Monthly |
| Index calculated | Three times per month | Three times per month | Daily | Three times per month | Daily and Monthly | Daily | Daily | Three times per month | Three times per month |
| Index performance finalized | Trailing four months of performance are subject to revision | Trailing four months of performance are subject to revision | Performance is final when published | Trailing four months of performance are subject to revision | Daily Index performance is final when published. Monthly-only Index performance finalized after one month. | Trailing 5 days of performance are subject to revision | Performance is final when published | Subject to revision for 2 months | Subject to revision for 4 months |
| Index rebalanced | Annually | Quarterly | Quarterly | Annually | Quarterly | Quarterly | Annually | Annually | Quarterly |
| Criteria for fund inclusion | Listing in HFR Database; Reports monthly net of all fees performance and assets in USD. See full methodology for details. |
Reports monthly net of all fees performance and assets in USD. Provide quarterly redemption liquidity or better. See full methodology for details. |
Fund is UCITS compliant; Reports daily performance to HFR. | Listing in HFR Database; Reports monthly net of all fees performance and assets in USD. See full methodology for details. | Subject to HFRX quantitative selection process. | Fund is UCITS compliant; Reports daily performance to HFR. | Reports daily performance to HFR. | Listing in HFR Database; Reports monthly net of all fees performance and assets in USD. | Listing in HFR Database; Reports monthly net of all fees performance and assets. |
| Minimum Asset Size and/or Track Record for fund inclusion | $10 Million USD minimum |
N/A | $30 Million USD minimum and > 6-Month Track Record | $500 Million minimum | $50 Million and 24-Month Track Record (typical) | €10 Million EUR minimum or > 6-Month Track Record | N/A | No minimum; Institutional variations require AUM of USD $500MM+ at time of inclusion in the index | No minimum |
| Index Denomination | USD; some hedged to GBP, JPY, CHF & EUR | USD | USD | USD | USD; some hedged to GBP, JPY, CHF, EUR & CAD | EUR; some hedged to GBP, JPY, CHF & USD | USD | USD | USD |
| Investable Index | No | Contact HFR | Contact HFR | Contact HFR | HFR Asset Management, LLC constructs investable products that track HFRX Indices | No | Contact HFR | Contact HFR | Contact HFR |
| Constituent Details | Available to HFR Database subscribers | Contact HFR | Contact HFR | Contact HFR | Available to HFR Database subscribers | Available to HFR Database subscribers | Contact HFR | Contact HFR | Contact HFR |
| Number of Constituent Funds | Appx 1100 in HFRI Fund Weighted Composite; Appx 200 in HFRI Fund of Funds Composite | 500 at time of rebalance | Over 150 funds in the HFRI-I Liquid Alternative UCITS Index | Over 250 in total constituent universe | Appx. 40 in the HFRX Global Hedge Fund Index. Monthly only constituents vary by index. | Over 250 funds in the HFRU Hedge Fund Composite Index | Indices represent over 200 component strategies | Appx. 25 in total constituent universe | Over 20 in total constituent universe |
| HFR INDICES PUBLICATION METHODOLOGY | ||
| Index Type | Publication Schedule | Details |
| HFRI Indices, HFRI 500 and | Flash Estimate | 5th business day of Month |
| HFR Blockchain Indices | Mid-Estimate | 15th of Month or nearest business day afterwards |
| - monthly reporting | End Estimate | 1st business day of following month |
| Ongoing Estimates | Subject to revision for 3 more months | |
| Finalized | 1st business day of 5th month | |
| Detailed HFRI Update Schedule | ||
| HFR Risk Parity Indices - monthly reporting | Flash Estimate | 5th business day of Month |
| Mid-Estimate | 15th of Month or nearest business day afterwards | |
| End Estimate | 1st business day of following month | |
| Ongoing Estimates | Subject to revision for 1 additional month | |
| Finalized | 1st business day of 3rd month | |
| HFR Bank Systematic Risk Premia Indices | Final when reported | Reported on a T+1 basis |
| HFRX Indices - daily reporting | Final when reported | Reported on a T+1 basis* |
| HFRX Indices - monthly reporting | First Estimate | 15th of Month or nearest business day afterwards |
| Finalized | 1st business day of following month | |
| Detailed HFRX Update Schedule | ||
| 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 | |
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*HFRX Indices are not published for days which are bank holidays in the United States. HFRU Indices are not published for days which are bank holidays in Luxembourg or Ireland. |
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| HFRI-I Liquid Alternative UCITS Indices | Final when reported | Reported on a T+1 basis |