HFRI-I Liquid Alternative UCITS Index Methodology
Funds eligible to be HFRI-I Liquid Alternative UCITS Index constituents must meet the following criteria:
- Confirmed to be UCITS compliant
- Performance reported net of all fees in USD or hedged to USD
- Reports NAV on a daily basis
- Provides daily redemption liquidity
- Minimum 6 months of track record
- Have at least USD $30 Million assets under management
- Open to new investment
Notes:
- The HFRI-I Liquid Alternative UCITS Indices are equally weighted across the selected funds and rebalanced on a quarterly basis.
- Index performance is denominated in USD.
- The HFRI-I Liquid Alternative UCITS Index is updated daily on a T+1 basis. Index NAV is not published for days which are non-dealing days.
- Duplicate share classes of funds are not considered as Index constituents
Effective February 22, 2019, HFRI-I Index methodology was refined, resulting in material changes to the index constituency. Consequently, the historical performance series of the indices was re-calculated and republished to reflect these changes.