HFRI FOF (Synthetic) Index Methodology

The HFRI Fund of Fund (Synthetic) Indices “HFRI FOF (S)” consist of constituents of the HFRI 500 Fund Weighted Composite Index “HFRI 500” that satisfy the eligibility criteria. The Indices are equal-weighted at rebalance time, which is performed on an annual basis. 

Eligibility Criteria

Constituents of the HFRI Fund of Fund (Synthetic) Indices must be included in the HFRI 500 Indices. 

Constituents included in the HFRI 500 Hedge Fund Indices must: 

• Report performance net of all fees in USD
• Report performance directly, or through a third party such as a fund administrator, to HFR every month on or before the 3rd to last business day of each month
• Report the fund AUM to HFR
• Be open to new investments
• Provide quarterly liquidity or better
• Have a redemption notice period of 90 days or less
• Allow for Monthly subscriptions
• Have a subscription notice period of 30 days or less
• Have a redemption settlement period of 30 days or less
• Have no Investor-Level gates or have agreed to waive them
• Have no lock-ups or have agreed to waive them
• Accept both US tax-exempt and non-US capital 
• Be managed by an investment company registered with the SEC or similar regulatory body
• Agree to the Submitter Code of Conduct (SCOC)
• Offer commercial terms consistent with market standards