HFRU Index Methodology

The HFRU Indices are performance benchmarks comprised of alternative investment strategies compliant with established UCITS guidelines.

The HFRU Indices are designed to be representative of the full universe of UCITS alternative investment strategies and are published on a daily T+1 basis.

HFRU Index Eligibility Criteria

Funds have to meet all of the following criteria in order to be included in the HFRU Indices:

• Fund is confirmed to be UCITS compliant
• Performance reported net of all fees
• Fund reports NAV at least every two weeks.
• Fund manager has at least €10 million of assets under management or a six-month track record

HFRU Index Methodology Notes

• The HFRU Indices are rebalanced on a quarterly basis.
• The HFRU Indices are equally weighted across the selected funds
• The performance of the Indices is denominated in EUR
• The values for the HFRU USD, JPY, CHF and GBP FX-Hedged Indices are calculated by applying to the EUR index value the cost of a rolling monthly foreign exchange contract on the relevant currency.
• Performance is initially published as an estimate and may be subject to change for 5 additional reporting days. After the fifth day, the index performance for that date is locked and is no longer subject to change.
• The HFRU Indices are updated daily on a T+1 basis. Index Values may not be published for days which are bank holidays in Luxembourg or Ireland.
• Index Values are not reported on days which are bank holidays in the United States.
• Funds are eligible for inclusion in the HFRU Indices the month after their addition to HFR Database. For instance, a fund that is added to HFR Database in June is eligible for inclusion in the indices upon reporting their July performance.
• If a fund liquidates/closes, that fund's performance will be included in the HFRU Indices as of that fund's last reported performance update.
• Duplicate share classes of funds are not considered as Index constituents.

CORRECTION NOTICE: HFRU Index performance figures for the dates ranging from November 25, 2022 to November 30, 2022 were revised and republished on December 9, 2022.