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HFR Indices / Compare HFR Index Types

Compare HFR Index Types

HFRI IndicesHFRI 500 IndicesHFRI 400 (US) IndicesHFRI-I IndicesHFRI Institutional IndicesHFRX IndicesHFRU IndicesHFRI FOF (S) IndicesHFR Risk Parity IndicesHFR Blockchain IndicesHFR Asset Manager Risk Premia Indices
Inception19902005200820082008Earliest 199820082005200320152017
Weighting
✓Equal-Weighted
✓Asset-Weighted
Strategy-Weighted
Representative Optimization
✓Equal-Weighted
Asset-Weighted
Strategy-Weighted
Representative Optimization
✓Equal-Weighted
Asset-Weighted
Strategy-Weighted
Representative Optimization
✓Equal-Weighted
Asset-Weighted
Strategy-Weighted
Representative Optimization
✓Equal-Weighted
Asset-Weighted
✓Strategy-Weighted
Representative Optimization
✓Equal-Weighted
✓Asset-Weighted
Strategy-Weighted
✓Representative Optimization
✓Equal-Weighted
Asset-Weighted
Strategy-Weighted
Representative Optimization
✓Equal-Weighted
Asset-Weighted
✓Strategy-Weighted
Representative Optimization
✓Equal-Weighted
Asset-Weighted
Strategy-Weighted
Representative Optimization
✓Equal-Weighted
Asset-Weighted
Strategy-Weighted
Representative Optimization
✓Equal-Weighted
Asset-Weighted
Strategy-Weighted
Representative Optimization
Reporting StyleNet of all feesNet of all feesNet of all feesNet of all feesNet of all feesNet of all feesNet of all feesNet of all feesNet of all feesNet of all feesNet of all fees
Performance Time Series AvailableMonthlyMonthlyMonthlyDailyMonthlyDaily or MonthlyDailyMonthlyMonthlyMonthlyDaily
Index RebalancedAnnuallyQuarterlyQuarterlyQuarterlyAnnuallyQuarterlyQuarterlyQuarterlyAnnuallyAnnuallyQuarterly
Investable IndexYesYesYesYesYesYesYesYesYesYesYes
UCITS CompliantNoNoNoYesNoYesYesNoNoNoYes
Adheres to IOSCO principlesYesYesYesYesYesYesYesYesYesYesYes
ESMA RegisteredYesYesNoYesYesYesYesYesYesYesYes
Index DenominationUSD/ FX HedgedUSD/ FX HedgedUSDUSDUSDUSD/ FX HedgedEUR FX HedgedUSDUSDUSDUSD
Minimum Asset Size and/or Track Record for Fund Inclusion$10 millionn/an/a$30 Million AND > 6 month track record> $500 Million$50 Million AND 24 month track recordEUR 10 Million minimum OR 6-month track recordn/aNo minimum; Institutional variations require AUM of USD $500 Million at time of inclusionNo Minimumn/a
Index Performance FinalizedReported twice as estimates before being finalizedReported twice as estimates before being finalizedReported twice as estimates before being finalizedFinal when publishedReported twice as estimates before being finalizedDaily performance final when published. Monthly-only performance reported once as an estimate before being finalizedReported as estimates for trailing 5 days, then finalizedReported twice as estimates before being finalizedReported twice as estimates before being finalizedReported twice as estimates before being finalizedFinal when published
Customization AvailableYesYesYesYesYesYesYesYesYesYesYes

HFR Index Family Update Schedules

Monthly

Indices Publication Schedule Details
  • HFRI Indices 
  • HFRI 500 Indices
  • HFRI 400 (US) Indices
  • HFRI Institutional Indices
  • HFR Risk Parity Indices
  • HFR Blockchain Indices
  • HFR FOF Vol (S) Indices
 Flash Estimate 5th US business day of the month
Mid Estimate 15th of month or nearest US business day thereafter
Final Third to last US business day of the month

 

HFRI FOF Indices Publication Schedule Details
HFRI FOF Indices Flash Estimate 5th US business day of the month
Mid-Estimate 15th of month or nearest US business day afterwards
End Estimate 1st US business day of following month
Ongoing Estimates Subject to revision for 3 more months
Finalized 1st US business day of 5th month

 

HFRX Indices Publication Schedule Details
HFRX Indices (Flagship Funds)  Initial Estimate 15th of Month (after month end) or nearest US business day afterwards
  Final Third to last US business day of the month

Daily

Index Type Publication Schedule Details
HFRX Indices  (UCITS) Final when reported Reported on a T+1 basis
     
HFRI-I Liquid Alternative Indices Final when reported Reported on a T+1 basis
     
HFR Asset Manager Risk Premia Indices Final when reported Reported on a T+1 basis
     
HFRU Indices 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

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