HFR Blockchain Index Methodology
The HFR Blockchain Indices are a series of benchmarks designed to reflect the performance of fund managers investing in blockchain digital currency and distributed ledger technologies.
The Blockchain strategy is subdivided into two substrategies: Cryptocurrency and Infrastructure technology. Fund managers focusing in Cryptocurrency utilize a variety of trading strategies to profit from exposure to bitcoin, ethereum and other digital currencies. Managers focusing in Infrastructure invest in companies developing blockchain and other distributed ledger technologies which are fundamentally disintermediating payments, banking, market trading structure, IOT, healthcare, remittances, supply chains, digital identity and more. HFR Blockchain Indices are rebalanced on a quarterly basis. At the time of rebalance all index constituents will be equally weighted.
To be eligible for inclusion in the HFR Blockchain Indices a fund must:
- Report monthly returns
- Report Net of All Fees Returns
HFR Blockchain Indices Notes
- Funds are eligible for inclusion in the HFR Blockchain 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.
- The HFR Blockchain Indices are reported on a monthly interval and are published twice as estimates before being finalized: The Flash Update (fifth US business day after month end), Mid Update (15th of the month - or nearest US business day afterwards), and the Final Update (third to last US business day of the month).
- If a fund in an index liquidates or closes, that fund's performance will be included in the HFR Blockchain Indices up to the fund's last reported performance update.
HFR Blockchain Index methodology was last updated effective July 1, 2021. Please review the published Defined Formulaic Methodology pdf document on this page for details.