HFRI Institutional Index Methodology
The HFRI Institutional Indices consist of the largest funds that report performance to HFR. Funds must be open to new investment and manage in excess of $500 Million in AUM. The indices are rebalanced on an annual basis.
Most HFRI Institutional Indices are equally weighted except for the HFRI Institutional Strategy Weighted Composite Index.
Eligibility Criteria
- Constituents included in the HFRI Institutional Indices must:
- Report monthly returns in USD
- Report net of all fees returns
- Report assets under management
- Be open to new investments
- Total assets under management of at least $500 MM USD
The HFRI Institutional Strategy Weighted Composite Index is computed by applying the strategy weights of the HFRI Fund Weighted Composite Index (as measured by the number of funds in each hedge fund strategy as a percent of the total) and applies them to the performance of the corresponding HFRI Institutional strategy indices.
HFRI Institutional Index methodology was last updated effective July 1, 2021. Please review the published Defined Formulaic Methodology pdf document on this page for details.
Recent Correction Notices
NOTICE: On November 4, 2021 HFR restated performance for several HFR Indices. Details here.