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 |
|---|---|---|---|
| 5.62% | 9.80% | 5.03% | n/a |
Annualized Return
| Three Year Ann. | Five Year Ann. | Ten Year Ann. |
|---|---|---|
| 3.17% | 0.99% | n/a |
HFRI-I Liquid Alternative UCITS Macro: Systematic Diversified 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 0.40% | 2.15% | 2.56% | ||||||||||
| 0.69% | 0.09% | 2.21% | 1.87% | 0.64% | -1.77% | -1.13% | 1.21% | 0.77% | 1.04% | -1.38% | -0.42% | 3.79% |
| -0.82% | 1.15% | 1.05% | 1.44% | 1.16% | -1.10% | 0.86% | -0.01% | -1.86% | 1.35% | -1.49% | 2.49% | 4.20% |
| 0.07% | -1.77% | -0.43% | -0.27% | -1.15% | -0.62% | 1.59% | -0.20% | -1.56% | -1.29% | 0.75% | 2.23% | -2.69% |
| -1.67% | -0.61% | 2.53% | 0.54% | 0.46% | 1.53% | 2.10% | 1.54% | -1.23% | -1.51% | 0.43% | -0.63% | 3.42% |
| 4.01% | -3.57% | -0.87% | -0.30% | -1.46% | 0.22% | -0.40% | 0.61% | -1.12% | -2.50% | -1.63% | 1.45% | -5.63% |
HFRI-I Liquid Alternative UCITS Macro: Systematic Diversified Index Statistics
Risk/Return
| Type | B1 | B2 | B3 | HFRIIMSD |
|---|---|---|---|---|
| Geo. Average Monthly | 0.38 | 0.27 | 0.79 | 0.08 |
| Std. Deviation | 2.23 | 1.79 | 5.37 | 1.46 |
| High Month | 5.86 | 3.91 | 12.82 | 4.01 |
| Low Month | -9.08 | -7.63 | -12.35 | -3.57 |
| Annualized Return | 4.69 | 3.25 | 9.87 | 1.01 |
| Annualized STD | 7.71 | 6.19 | 18.59 | 5.07 |
| Risk Free Rate | 1.42 | 1.42 | 1.42 | 1.42 |
| Sharpe Ratio | 0.45 | 0.32 | 0.52 | -0.06 |
| % of Winning Mo. | 59.68 | 61.29 | 64.52 | 51.61 |
| Max Drawdown | 11.55 | 9.04 | 23.87 | 11.35 |
Statistics calculated since inception of index
Risk-Free Rate = the 3-month US Treasury Constant Maturity Rate
Regression
| Type | B1 | B2 | B3 |
|---|---|---|---|
| Alpha | 0.02 | 0.04 | 0.04 |
| Beta | 0.17 | 0.2 | 0.05 |
| Mnt. R-Squared | 0.07 | 0.06 | 0.04 |
| Correlation | 0.26 | 0.24 | 0.2 |
| Up Alpha | 0.17 | 0.05 | 0.24 |
| Up Beta | 0.14 | 0.23 | 0.03 |
| Up R-Squared | 0.02 | 0.03 | 0 |
| Down Alpha | -0.27 | -0.17 | -0.52 |
| Down Beta | 0.07 | 0.09 | -0.03 |
| Down R-Squared | 0.01 | 0.01 | 0 |
Statistics calculated since inception of index
Risk-Free Rate = the 3-month US Treasury Constant Maturity Rate
HFRI-I Liquid Alternative UCITS Macro: Systematic Diversified Index Description
Systematic: Diversified strategies have investment processes typically as function of mathematical, algorithmic and technical models, with little or no influence of individuals over the portfolio positioning. Strategies which employ an investment process designed to identify opportunities in markets exhibiting trending or momentum characteristics across individual instruments or asset classes. Strategies typically employ quantitative process which focus on statistically robust or technical patterns in the return series of the asset, and typically focus on highly liquid instruments and maintain shorter holding periods than either discretionary or mean reverting strategies. Although some strategies seek to employ counter trend models, strategies benefit most from an environment characterized by persistent, discernable trending behavior. Systematic: Diversified strategies typically would expect to have no greater than 35% of portfolio in either dedicated currency or commodity exposures 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.
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