HFR Asset Manager Risk Premia Index Methodology
The HFR Risk Premia Asset Manager Index is designed to represent the aggregate performance of various style/asset class strategy categories of the alternative risk premia strategy industry. Hedge Fund Research, Inc. utilizes a UCITS compliant methodology to construct the indices and the methodology is based on defined and predetermined rules and objective criteria to combine and rebalance components that represent various asset class and style strategies. The performance of the Index is denominated in USD and is published daily on a T+1 basis.
Eligibility Criteria The process begins with screening the HFR Database of active alternative risk premia funds. Funds eligible to be index constituents must meet the following criteria:
- Confirmed to be alternative risk premia strategy
- Confirmed to be UCITS compliant
- Performance reported net of all fees in USD or in other currencies converted or hedged to USD
- Reports NAV on a daily basis
- Open to new investment