HFRI® Indices Performance Tables
The HFRI® Indices are broadly constructed indices designed to capture the breadth of hedge fund performance trends across all strategies and regions. Registered Users can view detailed information on each index, including the full performance history and charting features.
HFR is the established global leader in the indexation, analysis and research of the hedge fund industry. With over 200 indices ranging from broad composites down to specific, niche areas of sub-strategy and regional investment focus, the HFR Indices are considered the industry standard benchmarks of hedge fund performance.
HFRI Indices last updated on November 28, 2023 - next update will be posted on December 7th
HFRI FOF Indices last updated on November 15, 2023 - next update will be posted on December 1st
Fund of Funds - SyntheticInvestable
| Index Name | ROR | Index Value | YTD | LAST 12M | LAST 36M | LAST 60M | |
|---|---|---|---|---|---|---|---|
| HFRI FOF: Low Vol (S) Index › | -1.26% | 1744.24 | -0.98% | -1.74% | 3.72% | 2.70% | |
| HFRI FOF: Mid Vol (S) Index › | -1.89% | 2154.54 | -0.61% | -0.61% | 4.26% | 3.86% | |
| HFRI FOF: High Vol (S) Index › | -2.97% | 2463.23 | -0.49% | 0.00% | 4.88% | 4.90% | |
| HFRI FOF: Risk Mitigation (S) Index › | -0.21% | 2512.31 | 0.80% | -1.54% | 5.56% | 5.37% | |
| HFRI FOF: Low Vol (C) Strategy Weighted Index › | -0.76% | 1737.33 | 0.26% | 1.02% | 2.86% | 2.38% |
HFRI Indices - USD
| Index Name | ROR | Index Value | YTD | LAST 12M | LAST 36M | LAST 60M | |
|---|---|---|---|---|---|---|---|
| HFRI Fund Weighted Composite Index › | -1.60% | 17841.77 | 2.13% | 3.07% | 6.09% | 5.28% | |
| HFRI Asset Weighted Composite Index › | -0.25% | 1697.18 | 3.25% | 1.47% | 6.13% | 3.96% | |
| HFRI World Index › | -1.29% | 1678.20 | 1.91% | 1.43% | 6.10% | 5.36% |
Equity Hedge
| Index Name | ROR | Index Value | YTD | LAST 12M | LAST 36M | LAST 60M | |
|---|---|---|---|---|---|---|---|
| HFRI Equity Hedge (Total) Index › | -2.48% | 27113.72 | 2.07% | 4.33% | 5.47% | 5.68% | |
| HFRI EH: Equity Market Neutral Index › | -0.43% | 6320.80 | 3.66% | 4.49% | 4.85% | 2.61% | |
| HFRI EH: Fundamental Growth Index › | -3.06% | 1406.28 | -0.56% | 2.50% | 1.52% | 4.12% | |
| HFRI EH: Fundamental Value Index › | -2.39% | 2033.64 | 3.77% | 6.92% | 8.55% | 6.59% | |
| HFRI EH: Long/Short Directional Index › | -2.72% | 1784.65 | 1.87% | 4.31% | 5.43% | 5.93% | |
| HFRI EH: Multi-Strategy Index › | -1.59% | 1836.81 | 2.05% | 1.22% | 5.60% | 6.70% | |
| HFRI EH: Quantitative Directional Index › | -1.53% | 24212.12 | 3.75% | 5.14% | 8.21% | 6.52% | |
| HFRI EH: Sector - Energy/Basic Materials Index › | -2.32% | 21396.04 | -0.30% | -0.66% | 16.78% | 12.05% | |
| HFRI EH: Sector - Healthcare Index › | -5.41% | 3350.15 | -3.41% | -0.30% | -1.88% | 3.70% | |
| HFRI EH: Sector - Technology Index › | -2.83% | 2483.66 | 4.79% | 5.21% | 0.88% | 6.69% | |
| HFRI EH: Sector - Technology/Healthcare (Total) Index › | -4.34% | 42995.64 | -0.08% | 2.10% | -0.77% | 5.11% | |
| HFRI Equity Hedge (Total) Index - Asset Weighted › | -1.79% | 1583.68 | 2.94% | 5.56% | 4.04% | 3.85% |
Event-Driven
| Index Name | ROR | Index Value | YTD | LAST 12M | LAST 36M | LAST 60M | |
|---|---|---|---|---|---|---|---|
| HFRI Event-Driven (Total) Index › | -1.94% | 20371.65 | 2.67% | 3.37% | 7.05% | 4.58% | |
| HFRI ED: Activist Index › | -5.26% | 1545.47 | 1.54% | 1.29% | 4.84% | 3.41% | |
| HFRI ED: Credit Arbitrage Index › | -0.46% | 2098.19 | 5.99% | 9.80% | 6.22% | 4.84% | |
| HFRI ED: Distressed/Restructuring Index › | -1.38% | 21751.05 | 1.99% | 1.19% | 7.85% | 4.51% | |
| HFRI ED: Merger Arbitrage Index › | -0.84% | 10441.47 | 0.59% | 0.98% | 7.31% | 5.35% | |
| HFRI ED: Multi-Strategy Index › | -1.75% | 1567.64 | 3.16% | 3.41% | 3.80% | 2.57% | |
| HFRI ED: Special Situations Index › | -2.19% | 2081.71 | 3.92% | 5.33% | 8.44% | 5.03% | |
| HFRI Event Driven Directional Index › | -1.75% | 2006.44 | 3.31% | 4.35% | 7.79% | 4.79% | |
| HFRI Event-Driven (Total) Index - Asset Weighted › | -2.09% | 1831.61 | 2.28% | 3.12% | 5.34% | 3.11% |
Macro
| Index Name | ROR | Index Value | YTD | LAST 12M | LAST 36M | LAST 60M | |
|---|---|---|---|---|---|---|---|
| HFRI Macro (Total) Index › | -0.73% | 18864.81 | -0.24% | -2.19% | 7.25% | 5.54% | |
| HFRI Macro: Active Trading Index › | 0.63% | 1644.86 | 5.25% | 0.97% | 6.26% | 5.84% | |
| HFRI Macro: Commodity Index › | -2.28% | 1814.33 | -3.35% | -1.73% | 11.42% | 8.86% | |
| HFRI Macro: Currency Index › | 0.86% | 1278.05 | 4.48% | 2.20% | 3.88% | 2.67% | |
| HFRI Macro: Discretionary Thematic Index › | 0.10% | 1303.07 | 1.20% | 3.70% | 4.63% | 4.68% | |
| HFRI Macro: Multi-Strategy Index › | -0.83% | 1595.20 | -0.38% | 0.88% | 6.63% | 4.75% | |
| HFRI Macro: Systematic Diversified Index › | -0.85% | 14209.70 | -0.43% | -6.01% | 8.08% | 5.64% | |
| HFRI Macro: Systematic Directional Index › | -0.77% | 1531.20 | -0.22% | -5.92% | 7.89% | 5.49% | |
| HFRI Macro: Discretionary Directional Index › | 0.14% | 1333.72 | 1.56% | 3.47% | 4.34% | 4.42% | |
| HFRI Trend Following Directional Index › | -0.79% | 1567.72 | -0.31% | -4.17% | 7.58% | 5.30% | |
| HFRI Macro (Total) Index - Asset Weighted › | 0.83% | 1686.19 | 2.82% | -2.94% | 7.47% | 3.77% |
Relative Value
| Index Name | ROR | Index Value | YTD | LAST 12M | LAST 36M | LAST 60M | |
|---|---|---|---|---|---|---|---|
| HFRI Relative Value (Total) Index › | -0.18% | 14580.30 | 4.08% | 5.41% | 5.27% | 3.85% | |
| HFRI RV: Fixed Income-Asset Backed Index › | 0.15% | 10966.60 | 5.20% | 5.92% | 5.42% | 3.26% | |
| HFRI RV: Fixed Income-Convertible Arbitrage Index › | -1.71% | 11199.94 | 1.57% | 4.08% | 4.64% | 5.54% | |
| HFRI RV: Fixed Income-Corporate Index › | -0.35% | 9052.54 | 4.76% | 6.88% | 4.18% | 4.14% | |
| HFRI RV: Fixed Income-Sovereign Index › | 0.69% | 1778.92 | 4.07% | 10.32% | 3.30% | 2.76% | |
| HFRI RV: Multi-Strategy Index › | -0.32% | 9871.65 | 3.17% | 3.55% | 4.46% | 4.00% | |
| HFRI RV: Volatility Index › | 0.48% | 1599.84 | 2.79% | 2.49% | 4.02% | 1.55% | |
| HFRI RV: Yield Alternatives Index › | -0.27% | 8176.18 | 3.76% | 3.65% | 18.08% | 7.86% | |
| HFRI RV: Fixed Income Directional Index › | -0.24% | 2131.49 | 4.47% | 6.53% | 4.69% | 3.84% | |
| HFRI Relative Value (Total) Index - Asset Weighted › | -0.26% | 1928.04 | 4.33% | 5.60% | 5.69% | 3.77% |
Fund of Funds
| Index Name | ROR | Index Value | YTD | LAST 12M | LAST 36M | LAST 60M | |
|---|---|---|---|---|---|---|---|
| HFRI Fund of Funds Composite Index › | -1.22% | 7226.19 | 1.57% | 2.89% | 3.25% | 3.74% | |
| HFRI FOF: Conservative Index › | -0.25% | 6004.55 | 3.24% | 4.30% | 5.47% | 4.34% | |
| HFRI FOF: Diversified Index › | -1.04% | 6697.10 | 1.87% | 2.47% | 3.90% | 4.12% | |
| HFRI FOF: Market Defensive Index › | 0.27% | 6997.27 | 0.14% | 0.13% | 4.58% | 3.12% | |
| HFRI FOF: Strategic Index › | -2.14% | 11378.95 | 0.76% | 3.45% | 1.35% | 3.14% |
Regional
| Index Name | ROR | Index Value | YTD | LAST 12M | LAST 36M | LAST 60M | |
|---|---|---|---|---|---|---|---|
| HFRI Emerging Markets (Total) Index › | -1.70% | 20110.08 | 1.91% | 8.24% | 1.56% | 3.59% | |
| HFRI Emerging Markets: Asia ex-Japan Index › | -2.39% | 12359.47 | -1.12% | 8.18% | -0.98% | 3.74% | |
| HFRI Emerging Markets: India Index › | -0.84% | 1479.85 | 18.97% | 17.44% | 20.67% | 11.74% | |
| HFRI Emerging Markets: China Index › | -2.78% | 1559.74 | -6.11% | 6.64% | -6.06% | 2.76% | |
| HFRI Emerging Markets: Global Index › | -0.88% | 14145.88 | 4.24% | 9.99% | 3.52% | 3.61% | |
| HFRI Emerging Markets: Latin America Index › | -2.21% | 18610.64 | 9.56% | 10.73% | 5.42% | 1.51% | |
| HFRI Emerging Markets: MENA Index › | -1.27% | 1472.72 | 1.53% | 4.36% | 6.24% | 4.27% | |
| HFRI Asia with Japan Index › | -0.70% | 1549.46 | 1.73% | 5.56% | 5.71% | 4.16% | |
| HFRI Japan Index › | -2.31% | 2291.24 | 5.29% | 6.95% | 8.42% | 7.77% | |
| HFRI North America Index › | -1.94% | 1995.08 | 2.50% | 3.16% | 7.15% | 5.50% | |
| HFRI Western/Pan Europe Index › | -1.88% | 1997.33 | -0.36% | 2.97% | 6.94% | 6.02% |
Thematic
| Index Name | ROR | Index Value | YTD | LAST 12M | LAST 36M | LAST 60M | |
|---|---|---|---|---|---|---|---|
| HFRI Credit Index › | -0.59% | 1999.52 | 3.95% | 4.96% | 5.04% | 3.90% | |
| HFRI Diversity Index › | -1.15% | 2392.32 | 5.42% | 7.06% | 7.21% | 6.58% | |
| HFRI Women Index › | -1.38% | 2073.63 | 3.18% | 5.94% | 2.87% | 4.47% | |
| HFR Women Access Index › | -1.26% | 1177.71 | -0.68% | 3.50% | 1.88% | - |
HFRI Indices - FX Hedged
| Index Name | ROR | Index Value | YTD | LAST 12M | LAST 36M | LAST 60M | |
|---|---|---|---|---|---|---|---|
| HFRI Fund Weighted Composite Index - CHF › | -1.94% | 10461.96 | -1.41% | -1.32% | 3.46% | 2.59% | |
| HFRI Fund Weighted Composite Index - EUR › | -1.73% | 3425.69 | 0.22% | 0.59% | 4.22% | 3.13% | |
| HFRI Fund Weighted Composite Index - GBP › | -1.62% | 23805.03 | 1.50% | 2.14% | 5.38% | 4.17% | |
| HFRI Fund Weighted Composite Index - JPY › | -2.16% | 8459.97 | -2.61% | -2.53% | 3.46% | 2.88% |
HFRI Indices - FX Conversion
| Index Name | ROR | Index Value | YTD | LAST 12M | LAST 36M | LAST 60M | |
|---|---|---|---|---|---|---|---|
| HFRI Fund Weighted Composite Index - AUD Conversion › | -0.12% | 22215.04 | 9.86% | 4.05% | 9.82% | 7.62% | |
| HFRI Fund Weighted Composite Index - CHF Conversion › | -2.13% | 10541.04 | 0.57% | -6.29% | 5.84% | 3.15% | |
| HFRI Fund Weighted Composite Index - CNY Conversion › | -1.46% | 21039.74 | 8.30% | 3.21% | 9.29% | 6.29% | |
| HFRI Fund Weighted Composite Index - EUR Conversion › | -1.65% | 20706.66 | 3.38% | -3.68% | 9.56% | 6.71% | |
| HFRI Fund Weighted Composite Index - GBP Conversion › | -1.22% | 23673.87 | 1.67% | -2.76% | 8.36% | 6.32% | |
| HFRI Fund Weighted Composite Index - JPY Conversion › | -0.08% | 18820.17 | 18.14% | 5.12% | 20.06% | 11.68% |
Equity Hedge
| Index Name | ROR | Index Value | YTD | LAST 12M | LAST 36M | LAST 60M | |
|---|---|---|---|---|---|---|---|
| HFRI Equity Hedge (Total) Index - AUD Conversion › | -1.01% | 33758.41 | 9.79% | 5.33% | 9.17% | 8.02% | |
| HFRI Equity Hedge (Total) Index - CHF Conversion › | -3.01% | 16018.37 | 0.51% | -5.14% | 5.22% | 3.54% | |
| HFRI Equity Hedge (Total) Index - CNY Conversion › | -2.35% | 27982.68 | 8.24% | 4.48% | 8.65% | 6.69% | |
| HFRI Equity Hedge (Total) Index - EUR Conversion › | -2.53% | 31466.24 | 3.32% | -2.50% | 8.92% | 7.11% | |
| HFRI Equity Hedge (Total) Index - GBP Conversion › | -2.10% | 35975.26 | 1.61% | -1.57% | 7.72% | 6.72% | |
| HFRI Equity Hedge (Total) Index - JPY Conversion › | -0.98% | 28599.48 | 18.08% | 6.41% | 19.36% | 12.10% |
Event-Driven
| Index Name | ROR | Index Value | YTD | LAST 12M | LAST 36M | LAST 60M | |
|---|---|---|---|---|---|---|---|
| HFRI Event-Driven (Total) Index - AUD Conversion › | -0.46% | 25364.11 | 10.43% | 4.36% | 10.81% | 6.90% | |
| HFRI Event-Driven (Total) Index - CHF Conversion › | -2.47% | 12035.27 | 1.10% | -6.01% | 6.79% | 2.46% | |
| HFRI Event-Driven (Total) Index - CNY Conversion › | -1.81% | 26235.78 | 8.87% | 3.52% | 10.27% | 5.58% | |
| HFRI Event-Driven (Total) Index - EUR Conversion › | -1.99% | 23641.90 | 3.92% | -3.39% | 10.55% | 6.00% | |
| HFRI Event-Driven (Total) Index - GBP Conversion › | -1.56% | 27029.72 | 2.21% | -2.47% | 9.33% | 5.61% | |
| HFRI Event-Driven (Total) Index - JPY Conversion › | -0.43% | 21487.99 | 18.76% | 5.43% | 21.14% | 10.94% |
Macro
| Index Name | ROR | Index Value | YTD | LAST 12M | LAST 36M | LAST 60M | |
|---|---|---|---|---|---|---|---|
| HFRI Macro (Total) Index - AUD Conversion › | 0.77% | 23487.98 | 7.31% | -1.25% | 11.02% | 7.89% | |
| HFRI Macro (Total) Index - CHF Conversion › | -1.26% | 11145.05 | -1.76% | -11.07% | 7.00% | 3.40% | |
| HFRI Macro (Total) Index - CNY Conversion › | -0.59% | 20668.37 | 5.79% | -2.05% | 10.48% | 6.55% | |
| HFRI Macro (Total) Index - EUR Conversion › | -0.77% | 21893.18 | 0.98% | -8.59% | 10.76% | 6.97% | |
| HFRI Macro (Total) Index - GBP Conversion › | -0.34% | 25030.39 | -0.69% | -7.72% | 9.54% | 6.58% | |
| HFRI Macro (Total) Index - JPY Conversion › | 0.81% | 19898.56 | 15.40% | -0.24% | 21.37% | 11.95% |
Relative Value
| Index Name | ROR | Index Value | YTD | LAST 12M | LAST 36M | LAST 60M | |
|---|---|---|---|---|---|---|---|
| HFRI Relative Value (Total) Index - GBP Conversion › | 0.21% | 19350.05 | 3.61% | -0.55% | 7.53% | 4.88% | |
| HFRI Relative Value (Total) Index - AUD Conversion › | 1.33% | 18157.67 | 11.96% | 6.42% | 8.98% | 6.17% | |
| HFRI Relative Value (Total) Index - CHF Conversion › | -0.71% | 8615.81 | 2.49% | -4.16% | 5.03% | 1.76% | |
| HFRI Relative Value (Total) Index - CNY Conversion › | -0.04% | 16552.25 | 10.37% | 5.56% | 8.45% | 4.85% | |
| HFRI Relative Value (Total) Index - EUR Conversion › | -0.22% | 16924.78 | 5.35% | -1.48% | 8.72% | 5.27% | |
| HFRI Relative Value (Total) Index - JPY Conversion › | 1.36% | 15382.83 | 20.40% | 7.52% | 19.14% | 10.17% |
HFRI Indices October 2023 Performance Notes
MACRO, RELATIVE VALUE LEAD HFRI IN OCTOBER AS GEOPOLITICAL, INTEREST RATE RISKS SPIKE
Top Macro funds drive HFRI Macro Asset Weighted gains in volatile month;
Fundamental Macro Discretionary, Active Trading gain as equities, bonds fall
CHICAGO, (November 7, 2023) – Macro hedge funds produced gains through the volatile month of October as volatility surged on a spike in geopolitical and interest rate risk, with equities and bonds exhibiting the same dangerous correlated declines as the prior month. The HFRI Macro (Asset Weighted) Index advanced +0.7 percent in October, the third consecutive month of positive performance, bringing the trailing three-month return to an impressive gain of +4.2 percent. Overall, hedge funds posted mixed performance in the volatile month of October, as equities traded in a wide range, interest rates continued to rise on persistent inflation concerns, and geopolitical risks spiked with the outbreak of military conflict in Israel. Through this intense volatility and led by Macro and Relative Value Arbitrage, the HFRI Asset Weighted Composite Index® (FWC) was essentially unchanged for the month, posting a narrow decline of -0.02 percent. The HFRI Fund Weighted Composite Index, which applies equal weights to all constituent funds, declined -1.4 percent for the month.
Performance dispersion declined slightly in October, as the top decile of the HFRI FWC constituents advanced by an average of +4.0 percent, while the bottom decile fell by an average of -8.8 percent, representing a top/bottom dispersion of 12.8 percent for the month. By comparison, the top/bottom performance dispersion in September was 13.4 percent. Through the first ten months of the year, the top decile of FWC constituents gained +22.7 percent, while the bottom decile declined -16.6 percent, representing a top/bottom dispersion of 39.3 percent. Approximately thirty percent of hedge funds posted positive performance in October.
Effectively navigating the third consecutive month of extreme volatility, the HFRI Macro (Asset Weighted) Index gained +0.7 percent in October, increasing its YTD 2023 return to +2.6 percent, as equities posted sharp, correlated declines on rising rates and expectations for weakening economic growth. Macro sub-strategy performance was led by fundamental discretionary strategies as well as active trading strategies, with the HFRI 500 Macro: Discretionary Thematic Index gaining +1.6 percent, while the HFRI Macro: Active Trading Index added +0.42 percent for the month. The HFRI Macro: Currency Index advanced +0.2 percent in October, while the HFRI Macro: Commodity Index declined -2.9 percent.
Fixed income-based, interest rate-sensitive strategies also posted a narrow gain for October as interest rates surged, with the HFRI 500 Relative Value Index adding +0.2 percent. RVA sub-strategy performance was led by volatility and sovereign bond exposures, with the HFRI RVA: Volatility Index gaining +0.8 percent, while the HFRI RVA: Sovereign Index advanced +1.1 percent. These gains were partially offset by a decline in the HFRI RV: Convertible Arbitrage Index, which fell -1.5 percent.
Equity Hedge funds, which invest long and short across specialized sub-strategies, posted declines in October, with negative contributions from Technology and Energy exposures; the HFRI Equity Hedge Index (Asset Weighted) declined -0.7 percent in October. EH sub-strategy declines were led by the HFRI EH: Technology Index fell an estimated -2.2 percent and the HFRI EH: Energy/Basic Materials Index which declined -2.7 percent.
Event-Driven strategies, which often focus on out-of-favor, deep value equity exposures and speculation on M&A situations, posted declines in October as equity and rate volatility surged, driven by losses in Shareholder Activist and Distressed sub-strategies; the HFRI 500 Event Driven (Total) Index fell -1.6 percent for the month. ED sub-strategy declines were led by the HFRI 500 ED: Distressed Index, which fell -2.4 percent for the month, while the HFRI 500 ED: Activist Index lost -2.0 percent.
Liquid Alternative UCITS strategies also posted mixed performance in October as uncorrelated Macro gains offset Directional declines; the HFRX Absolute Return Index fell -0.35 percent for the month, while the HFRX Global Index lost -0.82 percent. Performance declines were led by the HFRX Event Driven Index, which fell -1.2 percent in October, partially offsetting the HFRX Macro Index which gained +0.3 percent.
The HFRI Diversity Index declined -1.3 percent in October while the HFRI Women Index fell by an estimated -1.1 percent.
“Extending and accelerating the leadership trends of September, the volatile month of October saw Macro hedge funds and the industry’s largest firms post gains and lead industry performance as both bonds and equities posted steep declines in a correlated manner, interest rates hit recent highs, and inflationary pressures remained strong, while complex geopolitical risks spiked with the outbreak of military conflict in Israel. Top Macro hedge funds posted strong gains led by fundamental and trading focused strategies, with the industry’s largest funds driving gains in asset weighted composites for the month,” stated Kenneth J. Heinz, President of HFR. “In addition to Macro, interest rate-sensitive, fixed income based Relative Value Arbitrage strategies also posted narrow gains through the volatile month, once again demonstrating strong defensive positioning and opportunistic trading as interest rates increased. Continuing this powerful trend and again led by the industry’s largest funds, managers remain aggressive and opportunistically positioned for acceleration of this financial market volatility, with an increased likelihood of destabilizing dislocations. As with the previous month, institutions interested in a combination of opportunistic exposure to these powerful trends, as well as defensive capital preservation through the volatility, are likely to increase allocations to managers which have generated strong performance through these recent market headwinds.”
Comments reference Flash Update performance figures as posted on November 7th, 2023.