Select An HFRI-I Liquid Alternative UCITS Indices Index:
Performance Snapshot As of: 08/2023
Total Return
| One Year | Three Year | Five Year | Ten Year |
|---|---|---|---|
| -2.03% | 6.25% | 7.60% | n/a |
Annualized Return
| Three Year Ann. | Five Year Ann. | Ten Year Ann. |
|---|---|---|
| 2.04% | 1.48% | n/a |
HFRI-I Liquid Alternative UCITS ED: Merger Arbitrage Index Performance History DOWNLOAD MONTHLY DATA
| Year |
|---|
| 2023 |
| 2022 |
| 2021 |
| 2020 |
| 2019 |
| 2018 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| -0.37% | -0.25% | -0.22% | -0.67% | -3.38% | 1.42% | 0.73% | 1.10% | -1.72% | ||||
| -0.23% | 0.98% | 0.21% | -0.60% | -1.79% | -0.72% | 1.59% | 0.88% | -1.11% | 1.28% | -0.85% | 0.37% | -0.04% |
| 1.22% | 0.97% | -0.65% | 1.38% | 0.33% | 0.00% | -1.81% | 1.00% | 0.36% | 0.05% | 0.25% | 0.32% | 3.45% |
| 0.19% | -0.48% | -8.00% | 4.81% | -0.06% | -0.64% | 1.11% | -0.22% | 0.11% | 0.77% | 2.26% | 1.35% | 0.71% |
| 1.14% | 0.07% | 0.69% | 0.21% | -0.88% | -0.33% | 0.65% | -0.02% | 0.24% | 0.64% | 0.47% | 0.81% | 3.74% |
| 0.20% | -0.30% | -1.47% | 0.21% | 1.20% | 0.82% | -0.37% | 0.26% | 0.42% | -0.18% | 1.28% | -0.18% | 1.87% |
HFRI-I Liquid Alternative UCITS ED: Merger Arbitrage Index Statistics
Risk/Return
| Type | B1 | B2 | B3 | HFRIIEDM |
|---|---|---|---|---|
| Geo. Average Monthly | 0.38 | 0.26 | 0.92 | 0.12 |
| Std. Deviation | 2.15 | 1.72 | 5.2 | 1.47 |
| High Month | 5.86 | 3.91 | 12.82 | 4.81 |
| Low Month | -9.08 | -7.63 | -12.35 | -8 |
| Annualized Return | 4.71 | 3.22 | 11.6 | 1.39 |
| Annualized STD | 7.45 | 5.94 | 18 | 5.08 |
| Risk Free Rate | 1.76 | 1.76 | 1.76 | 1.76 |
| Sharpe Ratio | 0.42 | 0.27 | 0.6 | -0.05 |
| % of Winning Mo. | 58.82 | 61.76 | 66.18 | 61.76 |
| Max Drawdown | 11.55 | 9.04 | 23.87 | 8.44 |
Statistics calculated since inception of index
Risk-Free Rate = the 3-month US Treasury Constant Maturity Rate
Regression
| Type | B1 | B2 | B3 |
|---|---|---|---|
| Alpha | -0.07 | -0.04 | -0.03 |
| Beta | 0.48 | 0.59 | 0.15 |
| Mnt. R-Squared | 0.49 | 0.47 | 0.27 |
| Correlation | 0.7 | 0.69 | 0.52 |
| Up Alpha | -0.06 | -0.11 | -0.59 |
| Up Beta | 0.39 | 0.5 | 0.24 |
| Up R-Squared | 0.27 | 0.22 | 0.31 |
| Down Alpha | 0.51 | 0.74 | 1.36 |
| Down Beta | 0.75 | 0.98 | 0.35 |
| Down R-Squared | 0.56 | 0.7 | 0.41 |
Statistics calculated since inception of index
Risk-Free Rate = the 3-month US Treasury Constant Maturity Rate
HFRI-I Liquid Alternative UCITS ED: Merger Arbitrage Index Description
Merger Arbitrage strategies which employ an investment process primarily focused on opportunities in equity and equity related instruments of companies which are currently engaged in a corporate transaction. Merger Arbitrage involves primarily announced transactions, typically with limited or no exposure to situations which pre-, post-date or situations in which no formal announcement is expected to occur. Opportunities are frequently presented in cross border, collared and international transactions which incorporate multiple geographic regulatory institutions, with typically involve minimal exposure to corporate credits. Merger arbitrage strategies typically have over 75% of positions in announced transactions over a given market cycle. The HFRI-I Liquid Alternative UCITS Indices are designed to be representative of the overall composition of the UCITS-compliant alternative investment strategy universe. The underlying constituents are equally weighted and rebalanced on a quarterly basis.
Index Constituents Content Block
HFR Indices Constituents
Gain insight into the movements of the HFR Indices with detailed information on index constituents. Currently-disclosed HFRI Index constituents are covered in HFR Database, and also HFRX constituents on a quarterly lagged basis. The IndexScope system
Click here to request access through HFRDatabase.com. Constituent data requires a subscription, but you may apply for a trial through the above link to see if you are eligible for one.
IndexScope is an upgrade available to current HFR Database subscribers that provides access to both current and historical constituents of the HFRI indices. The system includes the ability to estimate index returns between published index dates and provides visualization tools covering the strategy mix and characteristics of constituents. Learn more.
HFR Database is available by subscription to accredited investors only. IndexScope includes constituents from January 1, 2008 forward.