HFRI Index Methodology
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 (annual rebalance) while the constituent funds of the HFRI Asset Weighted indices are weighted according to the AUM reported by each fund for the prior month.
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
To be eligible for inclusion in the HFR Women Access Index a fund must meet additional criteria:
- Be managed by a woman
- Provide quarterly liquidity or better
- Manage at least $80 mm USD in the fund
- Do not impose lock-ups or gates.
- Be registered with a financial regulatory authority such as the Securities Exchange Commission (SEC) or similar in the country where the fund is domiciled
Further detail available in the HFR Women Access Index Methodology
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.
- Fund of Funds are not included in the HFRI Fund Weighted Composite Index.
- 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.
- FX Hedged versions of HFRI Indices are calculated by applying to the USD index value the cost of a rolling monthly foreign exchange contract on the relevant currency.
- FX Conversion versions of HFRI Indices are created by taking the monthly performance of the standard USD-denominated version of the Index and compounding it with monthly spot rate return of the relevant currency.
- The HFRI Indices are first published as estimates. The index value for a given month will become final after four months following its initial publication, after which it will not be subject to change. For example, December performance is finalized on the first business day of the following May.
View HFRI update schedule
Funds can contribute performance to more than one index. For example, a hedge fund engaged in Active Trading with a regional investment focus of China will be included in:
- HFRI Emerging Markets China Index
- HFRI Emerging Markets (Total) Index
- HFRI Macro: Active Trading Index
- HFRI Macro (Total) Index
- HFRI Fund Weighted Composite Index
Please note that each index is calculated separately and therefore a fund can only be included once per index.
HFR performed a comprehensive strategy reclassification of all hedge funds back in 2008. This resulted in some changes to the HFRI Indices. Click here to review more information on this process.