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HFRU Indices Performance Tables

The HFRU® Indices are performance benchmarks comprised of alternative investment strategies compliant with established UCITS guidelines.

The HFRU Indices are published on a daily T+1 basis.

Download Daily Performance Data Download Monthly Performance Data

FX-HEDGED and USD INDICES

    Daily Performance as of 2024-04-22 Annualized Performance as of: Feb 2024
Favorites Status Index Name DTD MTD YTD Index Value Feb 2024 YTD Last 12M Last 36M
HFRU Hedge Fund Composite CHF Index 0.0936 -0.59 1.03 Value blurred out. 0.58 1.56 Value blurred out. Value blurred out.
HFRU Hedge Fund Composite GBP Index 0.1429 -0.37 2.13 Value blurred out. 0.86 2.44 Value blurred out. Value blurred out.
HFRU Hedge Fund Composite JPY Index 0.1621 -0.69 0.45 Value blurred out. 0.43 1.09 Value blurred out. Value blurred out.
HFRU Hedge Fund Composite USD Index 0.1397 -0.35 2.20 Value blurred out. 0.87 2.49 Value blurred out. Value blurred out.

HFRU INDICES (EUR)

    Daily Performance as of 2024-04-22 Annualized Performance as of: Feb 2024
Favorites Status Index Name DTD MTD YTD Index Value Feb 2024 YTD Last 12M Last 36M
HFRU Hedge Fund Composite Index 0.1417 -0.45 1.74 Value blurred out. 0.76 2.13 Value blurred out. Value blurred out.
HFRU Equity Hedge Index 0.1728 -0.25 2.70 Value blurred out. 1.07 2.84 Value blurred out. Value blurred out.
HFRU Event Driven Index 0.0268 -0.80 -0.33 Value blurred out. 0.31 0.41 Value blurred out. Value blurred out.
HFRU Macro Index 0.0637 -0.42 2.15 Value blurred out. 1.15 2.60 Value blurred out. Value blurred out.
HFRU Relative Value Arbitrage Index 0.2160 -0.81 -0.29 Value blurred out. -0.41 0.49 Value blurred out. Value blurred out.
HFRU Equal Weighted Strategies Index 0.1198 -0.57 1.05 Value blurred out. 0.53 0.45 Value blurred out. Value blurred out.

HFRU Index Methodology

The HFRU Indices are performance benchmarks comprised of alternative investment strategies compliant with established UCITS guidelines.

The HFRU Indices are designed to be representative of the full universe of UCITS alternative investment strategies and are published on a daily T+1 basis.

HFRU Index Eligibility Criteria

Funds have to meet all of the following criteria in order to be included in the HFRU Indices:

  • Fund is confirmed to be UCITS compliant
  • Performance reported net of all fees
  • Fund reports NAV at least every two weeks.
  • Fund manager has at least €10 million of assets under management or a six-month track record

HFRU Index Methodology Notes

  • The HFRU Indices are rebalanced on a quarterly basis.
  • The HFRU Indices are equally weighted across the selected funds
  • The performance of the Indices is denominated in EUR
  • The values for the HFRU USD, JPY, CHF and GBP FX-Hedged Indices are calculated by applying to the EUR index value the cost of a rolling monthly foreign exchange contract on the relevant currency.
  • Performance is initially published as an estimate and may be subject to change for 5 additional reporting days. After the fifth day, the index performance for that date is locked and is no longer subject to change.
  • The HFRU Indices are updated daily on a T+1 basis. Index Values may not be published for days which are bank holidays in Luxembourg or Ireland.
  • Index Values are not reported on days which are bank holidays in the United States.
  • Funds are eligible for inclusion in the HFRU Indices the month after their addition to HFR Database. For instance, a fund that is added to HFR Database in June is eligible for inclusion in the indices upon reporting their July performance.
  • If a fund liquidates/closes, that fund’s performance will be included in the HFRU Indices as of that fund’s last reported performance update.
  • Duplicate share classes of funds are not considered as Index constituents.

HFRU Index methodology was last updated effective February 27, 2024. Please review the published Defined Formulaic Methodology pdf document on this page for details.

CORRECTION NOTICE: HFRU Index performance figures for the dates ranging from November 25, 2022 to November 30, 2022 were revised and republished on December 9, 2022.

More on HFRU Indices

HFRU Methodology (PDF)

HFR Indices FAQ

Compare HFR Index Types

HFR Index Direct

The HFR Index Direct licensing program allows licensees to receive comprehensive access to the most complete and updated performance and constituent information available for client benchmarking and performance evaluation purposes. The licensing program also addresses many of the data provisioning requirements that financial institutions are concerned with when disseminating financial and benchmark data.

Learn more about licensing HFR Indices data

Update Schedule

HFRU Indices are not published for days which are bank holidays in Luxembourg or Ireland. If both Luxembourg and Ireland exchanges are closed, no performance for the HFRU will be published for that day. If only one of the exchanges is closed on a given day, but the other one remains open, an Index value will be published. However, HFR reserves the right to decline to publish performance for a day where the total number of funds reporting does not produce a viable and representative universe. HFRU Indices are not reported on US bank holidays, but on the next following US business day.

Index Type Publication Schedule Details
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

Daily HFRX Index performance will not be published for the following days which are business holidays for the Irish Stock Exchange or the Luxembourg Stock Exchange:

2024 Luxembourg and Ireland Market Holiday Date
New Years Day Monday, January 1, 2024
Good Friday Friday, March 29, 2024
Easter Monday Monday, April 1, 2024
Labour Day Wednesday, May 1, 2024
Christmas Day Wednesday, December 25, 2024
Boxing Day Thursday, December 26, 2024
New Years Day Wednesday, January 1, 2025

HFR’s offices will be closed and daily HFR Index performance will not be reported on NYSE US business holidays. Performance will be reported on the following business day.

2024 NYSE US Business Holiday Date
New Year’s Day Monday, January 1, 2024
Martin Luther King, Jr. Day Monday, January 15, 2024
Presidents’ Day Monday, February 19, 2024
Good Friday Friday, March 29, 2024
Memorial Day Monday, May 27, 2024
Juneteenth Wednesday, June 19, 2024
Independence Day Thursday, July 4, 2024
Labor Day Monday, September 2, 2024
Thanksgiving Thursday, November 28, 2024
Christmas Wednesday, December 25, 2024
New Years Day Wednesday, January 1, 2025

For more information on HFR Indices publication schedules please contact us.

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Index Descriptions

HFR has constructed a robust alternative investment strategy classification system to define strategy, sub-strategy and regional investment focus categories for use in index construction.

The HFRU Equal Weighted Strategies Index is designed to be representative of the overall composition of the UCITS-Compliant hedge fund universe. It is computed as an average of eligible hedge fund strategies: equity hedge, event driven, macro, and relative value arbitrage. The underlying constituents within each strategy are equally weighted. The HFRU Indices are rebalanced on a quarterly basis. The HFRU Equal Weighted Strategies Index is denominated in EUR.

The HFRU Equity Hedge Index is designed to be representative of the Equity Hedge strategy of the UCITS-Compliant alternative investment strategy universe. The underlying constituents are equally weighted. The HFRU Indices are rebalanced on a quarterly basis. The HFRU Equity Hedge Index is denominated in EUR.

The HFRU Event Driven Index is designed to be representative of the Event Driven strategy of the UCITS-Compliant alternative investment strategy universe. The underlying constituents are equally weighted. The HFRU Indices are rebalanced on a quarterly basis. The HFRU Event Driven Index is denominated in EUR.

The HFRU Hedge Fund Composite CHF Index is designed to be representative of the overall composition of the UCITS-compliant alternative investment strategy universe. It is comprised of all eligible alternative investment strategies; including, but not limited to equity hedge, event driven, macro, and relative value arbitrage. The underlying constituents are equally weighted. The HFRU Indices are rebalanced on a quarterly basis. The HFRU Hedge Fund Composite CHF Index is denominated in CHF.

The HFRU Hedge Fund Composite GBP Index is designed to be representative of the overall composition of the UCITS-compliant alternative investment strategy universe. It is comprised of all eligible alternative investment strategies; including, but not limited to equity hedge, event driven, macro, and relative value arbitrage. The underlying constituents are equally weighted. The HFRU Indices are rebalanced on a quarterly basis. The HFRU Hedge Fund Composite GBP Index is denominated in GBP.

The HFRU Hedge Fund Composite Index is designed to be representative of the overall composition of the UCITS-Compliant alternative investment strategy universe. It is comprised of all eligible alternative investment strategies; including but not limited to equity hedge, event driven, macro, and relative value arbitrage. The underlying constituents are equally weighted. The HFRU Indices are rebalanced on a quarterly basis. The HFRU Hedge Fund Composite Index is denominated in EUR.

The HFRU Hedge Fund Composite JPY Index is designed to be representative of the overall composition of the UCITS-compliant alternative investment strategy universe. It is comprised of all eligible alternative investment strategies; including, but not limited to equity hedge, event driven, macro, and relative value arbitrage. The underlying constituents are equally weighted. The HFRU Indices are rebalanced on a quarterly basis. The HFRU Hedge Fund Composite JPY Index is denominated in JPY.

The HFRU Hedge Fund Composite USD Index is designed to be representative of the overall composition of the UCITS-compliant alternative investment strategy universe. It is comprised of all eligible alternative investment strategies; including, but not limited to equity hedge, event driven, macro, and relative value arbitrage. The underlying constituents are equally weighted. The HFRU Indices are rebalanced on a quarterly basis. The HFRU Hedge Fund Composite USD Index is denominated in USD.

The HFRU Macro Index is designed to be representative of the Macro strategy of the UCITS-compliant alternative investment strategy universe. The underlying constituents are equally weighted. The HFRU Indices are rebalanced on a quarterly basis. The HFRU Macro Index is denominated in EUR.

The HFRU Relative Value Arbitrage Index is designed to be representative of the Relative Value Arbitrage strategy of the UCITS-compliant alternative investment strategy universe. The underlying constituents are equally weighted. The HFRU Indices are rebalanced on a quarterly basis. The HFRU Relative Value Arbitrage Index is denominated in EUR.

Index Characteristics

Favorites Status Index NameTickerStrategySub-StategyRegionWeightingCurrencyReporting Interval
HFRU Equal Weighted Strategies Index HFRUEWS Composite Composite Global Equal-Weighted EUR Daily
HFRU Equity Hedge Index HFRUEH Equity Hedge Composite Global Equal-Weighted EUR Daily
HFRU Event Driven Index HFRUED Event Driven Composite Global Equal-Weighted EUR Daily
HFRU Hedge Fund Composite CHF Index HFRUHFCC Composite Composite Global Equal-Weighted CHF Daily
HFRU Hedge Fund Composite GBP Index HFRUHFCG Composite Composite Global Equal-Weighted GBP Daily
HFRU Hedge Fund Composite Index HFRUHFC Composite Composite Global Equal-Weighted EUR Daily
HFRU Hedge Fund Composite JPY Index HFRUHFCJ Composite Composite Global Equal-Weighted JPY Daily
HFRU Hedge Fund Composite USD Index HFRUHFCU Composite Composite Global Equal-Weighted USD Daily
HFRU Macro Index HFRUM Macro Composite Global Equal-Weighted EUR Daily
HFRU Relative Value Arbitrage Index HFRURVA Relative Value Composite Global Equal-Weighted EUR Daily

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