Select An HFRI-I Liquid Alternative UCITS Indices Index:
Performance Snapshot As of: 02/2023
Total Return
| One Year | Three Year | Five Year | Ten Year |
|---|---|---|---|
| -3.76% | 10.73% | 13.24% | n/a |
Annualized Return
| Three Year Ann. | Five Year Ann. | Ten Year Ann. |
|---|---|---|
| 3.46% | 2.52% | n/a |
HFRI-I Liquid Alternative UCITS ED: Multi-Strategy 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1.99% | -1.10% | 0.86% | ||||||||||
| -1.69% | -0.73% | -1.13% | -0.83% | -1.78% | -2.18% | -1.19% | 2.23% | -1.34% | -0.12% | 0.93% | 0.83% | -6.88% |
| 0.34% | 2.36% | -0.67% | 2.43% | -0.33% | 0.39% | -0.66% | 0.71% | -0.36% | 1.02% | -0.29% | 0.43% | 5.44% |
| 0.11% | -4.01% | -11.25% | 5.85% | 4.36% | 0.90% | 2.98% | 1.36% | -0.31% | 0.01% | 4.99% | 3.44% | 7.44% |
| 3.38% | 1.55% | 2.19% | 0.70% | -1.06% | 0.28% | 0.63% | -2.06% | -0.64% | 0.22% | 0.19% | 1.62% | 7.10% |
| 1.35% | 0.37% | -0.94% | 0.20% | 0.12% | 0.86% | 0.30% | -0.12% | 0.72% | -1.35% | 0.13% | -0.53% | 1.07% |
HFRI-I Liquid Alternative UCITS ED: Multi-Strategy Index Statistics
Risk/Return
| Type | B1 | B2 | B3 | HFRIIEDS |
|---|---|---|---|---|
| Geo. Average Monthly | 0.38 | 0.27 | 0.79 | 0.23 |
| Std. Deviation | 2.23 | 1.79 | 5.37 | 2.28 |
| High Month | 5.86 | 3.91 | 12.82 | 5.85 |
| Low Month | -9.08 | -7.63 | -12.35 | -11.25 |
| Annualized Return | 4.69 | 3.25 | 9.87 | 2.77 |
| Annualized STD | 7.71 | 6.19 | 18.59 | 7.9 |
| Risk Free Rate | 1.42 | 1.42 | 1.42 | 1.42 |
| Sharpe Ratio | 0.45 | 0.32 | 0.52 | 0.21 |
| % of Winning Mo. | 59.68 | 61.29 | 64.52 | 59.68 |
| Max Drawdown | 11.55 | 9.04 | 23.87 | 15.45 |
Statistics calculated since inception of index
Risk-Free Rate = the 3-month US Treasury Constant Maturity Rate
Regression
| Type | B1 | B2 | B3 |
|---|---|---|---|
| Alpha | -0.11 | -0.07 | -0.01 |
| Beta | 0.9 | 1.14 | 0.28 |
| Mnt. R-Squared | 0.76 | 0.8 | 0.45 |
| Correlation | 0.87 | 0.89 | 0.67 |
| Up Alpha | -0.39 | -0.38 | -0.23 |
| Up Beta | 0.95 | 1.25 | 0.31 |
| Up R-Squared | 0.61 | 0.7 | 0.28 |
| Down Alpha | 0.51 | 0.48 | 1.16 |
| Down Beta | 1.12 | 1.36 | 0.47 |
| Down R-Squared | 0.77 | 0.77 | 0.36 |
Statistics calculated since inception of index
Risk-Free Rate = the 3-month US Treasury Constant Maturity Rate
HFRI-I Liquid Alternative UCITS ED: Multi-Strategy Index Description
Event-Driven: Multi-Strategy Managers maintain positions in companies currently or prospectively involved in corporate transactions of a wide variety including but not limited to mergers, restructurings, financial distress, tender offers, shareholder buybacks, debt exchanges, security issuance or other capital structure adjustments. Security types can range from most senior in the capital structure to most junior or subordinated, and frequently involve additional derivative securities. Event Driven exposure includes a combination of sensitivities to equity markets, credit markets and idiosyncratic, company specific developments. Investment theses are typically predicated on fundamental characteristics (as opposed to quantitative), with the realization of the thesis predicated on a specific development exogenous to the existing capital structure. ED Multi-Strategy managers do not maintain more than 50% exposure in any one Event-Driven sub-strategy. 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
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