HFRI Index Methodology

Please Note: Methodology details on HFRI FOF (Synthetic) Indices can be found in the HFRI Indices Defined Formulaic Methodology Document (page 13).

HFRI® Indices are designed to capture the breadth of hedge fund industry performance trends across all strategies and regions. All single-manager HFRI Index constituents are included in the HFRI Fund Weighted Composite Index® while all funds of hedge funds are included in the HFRI Fund of Funds Composite Index®. Most HFRI Indices are equally-weighted at time of the annual rebalance.

To be eligible for inclusion in the HFRI Indices a hedge fund must:

• Report monthly returns
• Report Net of All Fees Returns
• Report assets in USD
• Meet the AUM minimum eligibility criteria of:
  a) Having at least $50 Million USD under management on the last reported month prior to the annual rebalance, or 
  b) Having at least $10 Million USD under management on the last reported month prior to the annual rebalance and have been actively trading for at least twelve (12) months.
• Open to new investment
• Available in a fund structure

HFRI Index methodology was last updated effective March 30, 2022. Please review the published Defined Formulaic Methodology pdf document on this page for details.

 HFRI Indices Notes

• Constituents are equally weighted to begin the calendar year.
• If a fund in an index liquidates or closes, that fund's performance will be included in the HFRI up to the fund's last reported performance update.
• Both domestic and offshore funds are included in the HFRI.
• In cases where a manager lists mirrored-performance funds, only the fund with the larger asset size is included in the HFRI.

Recent Correction Notices

NOTICE: On November 4, 2021 HFR restated performance for several HFR Indices. Details here.