HFR Index Restatement - November 4, 2021
HFR Index Restatement details
Restatement posted: November 4, 2021, 1:00pm CT
Reason: HFR discovered an anomaly with our index calculation process which required us to restate index performance for August and/or September 2021 for the following HFR Indices:
|
Index Name |
Ticker |
Performance Date |
Previous ROR% |
Restated ROR% |
Previous |
Restated |
|
HFRI EH: Quantitative Directional Index |
HFRIENHI |
9/30/2021 |
-3.01% |
-2.78% |
23,025.55 |
23,079.88 |
|
HFRI EH: Sector - Energy/Basic Materials Index |
HFRISEN |
9/30/2021 |
2.39% |
1.94% |
19,770.48 |
19,708.57 |
|
HFRI ED: Credit Arbitrage Index |
HFRICRED |
9/30/2021 |
0.67% |
0.12% |
2,024.93 |
2,022.97 |
|
HFRI ED: Special Situations Index |
HFRIEDSS |
9/30/2021 |
0.47% |
0.26% |
2,086.02 |
2,081.28 |
|
HFRI ED: Multi-Strategy Index |
HFRIEDMS |
9/30/2021 |
-0.85% |
-0.76% |
1,697.60 |
1,699.21 |
|
HFRI Macro: Commodity Index |
HFRIMCOM |
9/30/2021 |
4.17% |
4.04% |
1,583.27 |
1,584.09 |
|
HFRI Macro: Multi-Strategy Index |
HFRIMMS |
9/30/2021 |
0.54% |
0.56% |
1,525.53 |
1,523.96 |
|
HFRI RV: Fixed Income-Sovereign Index |
HFRIFISV |
9/30/2021 |
-0.72% |
-0.76% |
1,719.42 |
1,716.98 |
|
HFRI Emerging Markets: MENA Index |
HFRIMENA |
9/30/2021 |
-0.15% |
-0.35% |
1,456.60 |
1,453.79 |
|
HFRI Japan Index |
HFRIJPN |
9/30/2021 |
1.09% |
1.00% |
2,081.43 |
2,081.75 |
|
Index Name |
Ticker |
Performance Date |
Previous ROR% |
Restated ROR% |
Previous |
Restated |
|
HFRI EH: Sector - Energy/Basic Materials Index |
HFRISEN |
8/31/2021 |
1.07% |
1.20% |
19,309.80 |
19,334.44 |
|
HFRI ED: Credit Arbitrage Index |
HFRICRED |
8/31/2021 |
0.57% |
1.02% |
2,011.50 |
2,020.50 |
|
HFRI ED: Special Situations Index |
HFRIEDSS |
8/31/2021 |
0.74% |
0.72% |
2,076.33 |
2,075.81 |
|
HFRI Macro: Commodity Index |
HFRIMCOM |
8/31/2021 |
1.16% |
1.33% |
1,519.93 |
1,522.57 |
|
HFRI Macro: Multi-Strategy Index |
HFRIMMS |
8/31/2021 |
0.51% |
0.39% |
1,517.40 |
1,515.52 |
|
HFRI RV: Fixed Income-Sovereign Index |
HFRIFISV |
8/31/2021 |
0.75% |
0.65% |
1,731.88 |
1,730.08 |
|
HFRI Japan Index |
HFRIJPN |
8/31/2021 |
1.96% |
2.06% |
2,059.08 |
2,061.11 |
|
Index Name |
Ticker |
Performance Date |
Previous ROR% |
Restated ROR% |
Previous |
Restated |
|
HFR Risk Parity Vol 15 Index |
HFRPV15 |
9/30/2021 |
-5.85% |
-5.93% |
2,135.66 |
2,126.34 |
|
HFR Risk Parity Vol 15 Index |
HFRPV15 |
8/31/2021 |
0.68% |
0.33% |
2,268.28 |
2,260.32 |
|
Index Name |
Ticker |
Performance Date |
Previous ROR% |
Restated ROR% |
Previous |
Restated |
|
HFRI Institutional Event Driven Directional Index |
HFRINEDD |
9/30/2021 |
0.08% |
0.21% |
1,982.78 |
1,985.44 |
Contact Barry Higgins with any questions (bhiggins@hfr.com).