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 |
|---|---|---|---|
| 7.25% | 9.55% | 13.11% | n/a |
Annualized Return
| Three Year Ann. | Five Year Ann. | Ten Year Ann. |
|---|---|---|
| 3.09% | 2.49% | n/a |
HFRI-I Liquid Alternative UCITS EH: Fundamental Value 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 3.83% | -1.44% | -0.94% | 0.29% | -0.86% | 2.65% | 1.11% | -0.98% | -0.36% | -1.36% | 1.81% | ||
| -0.93% | -1.91% | -1.42% | -2.13% | 0.26% | -3.02% | 0.26% | -0.75% | -3.24% | 0.85% | 4.76% | 0.56% | -6.74% |
| -0.73% | 2.29% | 0.46% | 2.26% | 1.04% | -0.32% | -0.49% | 0.66% | -0.42% | 0.55% | -2.07% | 1.76% | 5.01% |
| -0.48% | -3.86% | -7.45% | 3.63% | 1.12% | 2.06% | 1.85% | 1.87% | -1.24% | -0.67% | 6.25% | 3.41% | 5.90% |
| 3.86% | 1.05% | -0.79% | 1.83% | -2.56% | 2.20% | 0.48% | -0.63% | 0.95% | 1.82% | 0.68% | 2.12% | 11.40% |
| 1.69% | -1.44% | -0.68% | 0.34% | 0.32% | -0.27% | 0.61% | -1.72% | 0.33% | -2.53% | -0.30% | -3.55% | -7.07% |
HFRI-I Liquid Alternative UCITS EH: Fundamental Value Index Statistics
Risk/Return
| Type | B1 | B2 | B3 | HFRIIEFV |
|---|---|---|---|---|
| Geo. Average Monthly | 0.34 | 0.23 | 0.79 | 0.13 |
| Std. Deviation | 2.14 | 1.7 | 5.18 | 2.16 |
| High Month | 5.86 | 3.91 | 12.82 | 6.25 |
| Low Month | -9.08 | -7.63 | -12.35 | -7.45 |
| Annualized Return | 4.17 | 2.85 | 9.92 | 1.54 |
| Annualized STD | 7.4 | 5.9 | 17.94 | 7.49 |
| Risk Free Rate | 1.86 | 1.86 | 1.86 | 1.86 |
| Sharpe Ratio | 0.34 | 0.19 | 0.51 | -0.01 |
| % of Winning Mo. | 57.14 | 60 | 64.29 | 52.86 |
| Max Drawdown | 11.55 | 9.04 | 23.87 | 12.55 |
Statistics calculated since inception of index
Risk-Free Rate = the 3-month US Treasury Constant Maturity Rate
Regression
| Type | B1 | B2 | B3 |
|---|---|---|---|
| Alpha | -0.18 | -0.12 | -0.17 |
| Beta | 0.91 | 1.1 | 0.34 |
| Mnt. R-Squared | 0.82 | 0.75 | 0.68 |
| Correlation | 0.9 | 0.86 | 0.82 |
| Up Alpha | -0.36 | -0.22 | -0.19 |
| Up Beta | 1.01 | 1.21 | 0.34 |
| Up R-Squared | 0.62 | 0.56 | 0.36 |
| Down Alpha | -0.21 | -0.36 | 0.06 |
| Down Beta | 0.87 | 0.94 | 0.38 |
| Down R-Squared | 0.8 | 0.63 | 0.56 |
Statistics calculated since inception of index
Risk-Free Rate = the 3-month US Treasury Constant Maturity Rate
HFRI-I Liquid Alternative UCITS EH: Fundamental Value Index Description
Fundamental Value strategies which employ investment processes designed to identify attractive opportunities in securities of companies which trade a valuation metrics by which the manager determines them to be inexpensive and undervalued when compared with relevant benchmarks. Investment theses are focused on characteristics of the firm's financial statements in both an absolute sense and relative to other similar securities and more broadly, market indicators. Relative to Fundamental Growth strategies, in which earnings growth and capital appreciation is expected as a function of expanding market share & revenue increases, Fundamental Value strategies typically focus on equities which currently generate high cash flow, but trade at discounted valuation multiples, possibly as a result of limited anticipated growth prospects or generally out of favor conditions, which may be specific to sector or specific holding. 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.