HFR Specialty Indices
HFR Specialty Indices are a collection of index variants and niche benchmarks that are compiled in a manner that expands upon our standard published index methodologies.
Specialty Indices
| Monthly Performance for Apr 2025 | |||||||
|---|---|---|---|---|---|---|---|
| Favorites Status | Index Name | ROR (%) | Index Value | YTD (%) | Last 12M (%) | Last 36M (ann %) | Last 60M (ann %) |
| HFR Long Volatility Index | 6.07 | Value blurred out. | 8.49 | 8.04 | Value blurred out. | Value blurred out. | |
HFR Specialty Indices Methodology
HFR Specialty Indices are a collection of index variants and each index will have it’s own methodology.
HFR Long Volatility Index
To be eligible for inclusion in the HFR Long Volatility Index a constituent must:
- Report monthly returns
- Report Net of All Fees Returns
- Report assets in USD
- Meet the AUM minimum eligibility criteria of:
- a) Having at least $50 Million USD under management on the last reported month prior to the annual rebalance, or
- b) Having at least $10 Million USD under management on the last reported month prior to the annual rebalance and have been actively trading for at least twelve (12) months.
- Open to new investment
- Be available in a fund structure or as a separately managed account
More on HFR Specialty Indices Methodology
Formulaic Methodology document in development
HFRI Indices Defined Formulaic Methodology (PDF)
Please contact indices@hfr.com should you have any questions.
Update Schedule
The HFR Long Volatility Index performance is published twice as estimates and then finalized when publishing the third iteration of performance. The indices are updated according to the schedule set forth on this page.
| HFRI Indices | Publication Schedule | Details |
| HFR Long Volatility Index Update Schedule | 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 |
Index Characteristics
| Favorites Status | Index Name | Ticker | Strategy | Sub-Stategy | Region | Weighting | FX Type | Currency | Reporting Interval |
|---|---|---|---|---|---|---|---|---|---|
| HFR Long Volatility Index | N/A | Composite | Composite | Global | Equal-Weighted | – | USD | Monthly |
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