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 |
|---|---|---|---|
| -4.15% | -1.95% | 1.67% | n/a |
Annualized Return
| Three Year Ann. | Five Year Ann. | Ten Year Ann. |
|---|---|---|
| -0.65% | 0.33% | n/a |
HFRI-I Liquid Alternative UCITS Macro: 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1.98% | -1.48% | 0.48% | ||||||||||
| -3.60% | -2.96% | -2.04% | -1.49% | -1.44% | -2.16% | 2.90% | -0.60% | -2.18% | 1.51% | 1.01% | -0.08% | -10.76% |
| -0.22% | 0.78% | 0.74% | 1.61% | 0.59% | 0.43% | 0.86% | 0.75% | -1.25% | -0.76% | 0.43% | 1.67% | 5.73% |
| -0.27% | -2.01% | -1.66% | 1.19% | 0.57% | -0.33% | 0.86% | 0.62% | -0.61% | -0.87% | 2.20% | 1.47% | 1.06% |
| 1.29% | 0.40% | 0.73% | 0.70% | -1.48% | 1.49% | 0.42% | 0.07% | 0.13% | 0.42% | 0.02% | 0.58% | 4.85% |
| 0.59% | -1.43% | -0.33% | 0.77% | 0.00% | 0.16% | -0.19% | -0.27% | 0.22% | -0.01% | 1.02% | -0.17% | 0.35% |
HFRI-I Liquid Alternative UCITS Macro: Multi-Strategy Index Statistics
Risk/Return
| Type | B1 | B2 | B3 | HFRIIMMS |
|---|---|---|---|---|
| Geo. Average Monthly | 0.38 | 0.27 | 0.79 | 0.01 |
| Std. Deviation | 2.23 | 1.79 | 5.37 | 1.27 |
| High Month | 5.86 | 3.91 | 12.82 | 2.9 |
| Low Month | -9.08 | -7.63 | -12.35 | -3.6 |
| Annualized Return | 4.69 | 3.25 | 9.87 | 0.16 |
| Annualized STD | 7.71 | 6.19 | 18.59 | 4.41 |
| Risk Free Rate | 1.42 | 1.42 | 1.42 | 1.42 |
| Sharpe Ratio | 0.45 | 0.32 | 0.52 | -0.26 |
| % of Winning Mo. | 59.68 | 61.29 | 64.52 | 56.45 |
| Max Drawdown | 11.55 | 9.04 | 23.87 | 12.95 |
Statistics calculated since inception of index
Risk-Free Rate = the 3-month US Treasury Constant Maturity Rate
Regression
| Type | B1 | B2 | B3 |
|---|---|---|---|
| Alpha | -0.12 | -0.1 | -0.14 |
| Beta | 0.36 | 0.43 | 0.18 |
| Mnt. R-Squared | 0.39 | 0.37 | 0.55 |
| Correlation | 0.62 | 0.61 | 0.74 |
| Up Alpha | 0.04 | 0.01 | -0.05 |
| Up Beta | 0.34 | 0.42 | 0.16 |
| Up R-Squared | 0.23 | 0.21 | 0.27 |
| Down Alpha | -0.6 | -0.47 | -0.5 |
| Down Beta | 0.18 | 0.27 | 0.12 |
| Down R-Squared | 0.07 | 0.11 | 0.14 |
Statistics calculated since inception of index
Risk-Free Rate = the 3-month US Treasury Constant Maturity Rate
HFRI-I Liquid Alternative UCITS Macro: Multi-Strategy Index Description
Macro: Multi-Strategy Strategies which employ components of both Discretionary and Systematic Macro strategies, but neither exclusively both. Strategies frequently contain proprietary trading influences, and in some cases contain distinct, identifiable sub-strategies, such as equity hedge or equity market neutral, or in some cases a number of sub-strategies are blended together without the capacity for portfolio level disaggregation. Strategies employ an investment process is predicated on a systematic, quantitative evaluation of macroeconomic variables in which the portfolio positioning is predicated on convergence of differentials between markets, not necessarily highly correlated with each other, but currently diverging from their historical levels of correlation. Strategies focus on fundamental relationships across geographic areas of focus both inter and intra-asset classes, and typical holding periods are longer than trend following or discretionary strategies. 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.
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