Select An HFRI-I Liquid Alternative UCITS Indices Index:
Performance Snapshot As of: 10/2023
Total Return
| One Year | Three Year | Five Year | Ten Year |
|---|---|---|---|
| 1.08% | 6.80% | 1.70% | n/a |
Annualized Return
| Three Year Ann. | Five Year Ann. | Ten Year Ann. |
|---|---|---|
| 2.22% | 0.34% | n/a |
HFRI-I Liquid Alternative UCITS EH: Equity Market Neutral 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| -0.31% | 0.02% | -0.06% | 0.25% | -0.22% | 0.62% | -0.46% | 0.34% | 0.78% | 0.01% | 0.98% | ||
| 0.91% | -0.50% | -0.88% | 0.86% | -0.50% | -0.36% | 0.38% | -0.25% | 1.16% | 0.51% | -0.78% | 0.88% | 1.38% |
| -0.07% | 1.48% | 0.68% | 0.54% | -0.02% | -0.80% | -0.81% | 0.83% | -0.25% | 0.70% | -0.81% | 0.31% | 1.76% |
| -0.11% | -1.01% | -4.38% | 1.73% | 0.52% | 0.73% | -0.01% | 0.15% | -0.10% | -0.66% | 1.67% | 0.83% | -0.79% |
| 0.30% | -0.69% | -0.63% | 0.06% | -0.39% | 0.09% | 0.33% | 0.00% | -0.02% | 0.27% | -0.20% | 0.47% | -0.41% |
| 0.58% | -0.21% | 0.24% | 0.07% | 0.39% | -0.19% | 0.15% | -0.20% | -0.17% | -1.26% | -1.32% | 0.12% | -1.80% |
HFRI-I Liquid Alternative UCITS EH: Equity Market Neutral Index Statistics
Risk/Return
| Type | B1 | B2 | B3 | HFRIIEMN |
|---|---|---|---|---|
| Geo. Average Monthly | 0.34 | 0.23 | 0.79 | 0.02 |
| Std. Deviation | 2.14 | 1.7 | 5.18 | 0.83 |
| High Month | 5.86 | 3.91 | 12.82 | 1.73 |
| Low Month | -9.08 | -7.63 | -12.35 | -4.38 |
| Annualized Return | 4.17 | 2.85 | 9.92 | 0.18 |
| Annualized STD | 7.4 | 5.9 | 17.94 | 2.87 |
| Risk Free Rate | 1.86 | 1.86 | 1.86 | 1.86 |
| Sharpe Ratio | 0.34 | 0.19 | 0.51 | -0.57 |
| % of Winning Mo. | 57.14 | 60 | 64.29 | 52.86 |
| Max Drawdown | 11.55 | 9.04 | 23.87 | 8.52 |
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 | -0.06 | -0.04 |
| Beta | 0.25 | 0.32 | 0.06 |
| Mnt. R-Squared | 0.41 | 0.43 | 0.15 |
| Correlation | 0.64 | 0.65 | 0.39 |
| Up Alpha | -0.28 | -0.25 | -0.33 |
| Up Beta | 0.3 | 0.37 | 0.11 |
| Up R-Squared | 0.38 | 0.38 | 0.25 |
| Down Alpha | 0.32 | 0.37 | 0.3 |
| Down Beta | 0.41 | 0.51 | 0.11 |
| Down R-Squared | 0.49 | 0.53 | 0.1 |
Statistics calculated since inception of index
Risk-Free Rate = the 3-month US Treasury Constant Maturity Rate
HFRI-I Liquid Alternative UCITS EH: Equity Market Neutral Index Description
Equity Market Neutral strategies employ sophisticated quantitative techniques of analyzing price data to ascertain information about future price movement and relationships between securities, select securities for purchase and sale. These can include both Factor-based and Statistical Arbitrage/Trading strategies. Factor-based investment strategies include strategies in which the investment thesis is predicated on the systematic analysis of common relationships between securities. In many but not all cases, portfolios are constructed to be neutral to one or multiple variables, such as broader equity markets in dollar or beta terms, and leverage is frequently employed to enhance the return profile of the positions identified. Statistical Arbitrage/Trading strategies consist of strategies in which the investment thesis is predicated on exploiting pricing anomalies which may occur as a function of expected mean reversion inherent in security prices; high frequency techniques may be employed and trading strategies may also be employed on the basis on technical analysis or opportunistically to exploit new information the investment manager believes has not been fully, completely or accurately discounted into current security prices. Equity Market Neutral Strategies typically maintain characteristic net equity market exposure no greater than 10% long or short. 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.