HFRI FoF: High Vol (S) Index is comprised of approximately 200 of the highest volatility funds that are constituents of the HFRI 500 Index and is designed to synthetically (S) represent the performance of high volatility fund of funds. The index emulates the standard fund of funds fee structure by equal weighting the monthly performance of single manager funds less 100 basis points per annum.
HFRI FOF (Synthetic) Indices
Index Descriptions
The HFRI FoF: Low Vol (C) Index is comprised of approximately 40% of the lowest volatility funds within each sub-strategy that are constituents of the HFRI 500 Index and is designed to synthetically represent the performance of a sub-strategy weighted low volatility fund of funds. The index emulates the standard fund of funds fee structure by deducting 100 basis points per annum to account for fees and expenses.
HFRI FoF: Low Vol (S) Index is comprised of approximately 200 of the lowest volatility funds that are constituents of the HFRI 500 Index and is designed to synthetically (S) represent the performance of low volatility fund of funds. The index emulates the standard fund of funds fee structure by equal weighting the monthly performance of single manager funds less 100 basis points per annum.
HFRI FoF: Mid Vol (S) Index is comprised of approximately 300 medium volatility funds that are constituents of the HFRI 500 Index and is designed to synthetically (S) represent the performance of medium volatility fund of funds. The index emulates the standard fund of funds fee structure by equal weighting the monthly performance of single manager funds less 100 basis points per annum.
HFRI FOF: Risk Mitigation (S) Index is designed to synthetically (S) represent the performance of low beta fund of funds and is comprised of approximately 50 funds with the lowest beta to equities that qualify as constituents of the HFRI 500 Indices. The constituent funds of the index are equal-weighted at the time of rebalance. The index emulates the standard fund of funds fee structure with its performance published net of 100 basis points per annum.