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 |
|---|---|---|---|
| 0.41% | 1.81% | 5.51% | 20.70% |
Annualized Return
| Three Year Ann. | Five Year Ann. | Ten Year Ann. |
|---|---|---|
| 0.60% | 1.08% | 1.90% |
HFRI-I Liquid Alternative UCITS Relative Value Index Performance History DOWNLOAD MONTHLY DATA
| Year |
|---|
| 2023 |
| 2022 |
| 2021 |
| 2020 |
| 2019 |
| 2018 |
| 2017 |
| 2016 |
| 2015 |
| 2014 |
| 2013 |
| 2012 |
| 2011 |
| 2010 |
| 2009 |
| 2008 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2.10% | -0.43% | 1.66% | ||||||||||
| -0.63% | -1.41% | -0.04% | -0.93% | -0.01% | -3.00% | 1.24% | -0.12% | -2.39% | 1.07% | 2.39% | 0.69% | -3.24% |
| 0.05% | 0.22% | 0.05% | 0.70% | 0.40% | -0.16% | -0.18% | 0.21% | -0.29% | -0.49% | -0.99% | 1.01% | 0.53% |
| 0.31% | -1.35% | -8.62% | 2.83% | 2.10% | 1.27% | 1.52% | 0.80% | -0.41% | -0.02% | 2.65% | 1.33% | 1.88% |
| 1.93% | 0.54% | 0.12% | 0.75% | -0.60% | 1.55% | 0.58% | -0.58% | 0.58% | 0.73% | 0.12% | 1.06% | 6.96% |
| 0.61% | -0.78% | -0.25% | 0.53% | -0.16% | -0.27% | 0.44% | -0.11% | 0.38% | -1.37% | -0.87% | -0.42% | -2.26% |
| 0.17% | 0.76% | 0.41% | 0.46% | 0.28% | -0.08% | 0.34% | 0.17% | 0.64% | 0.77% | -0.06% | 0.05% | 4.00% |
| -1.25% | -0.47% | 1.19% | 0.51% | 0.46% | -0.22% | 1.19% | 0.67% | 0.00% | 0.50% | -0.10% | 0.89% | 3.40% |
| 1.12% | 1.18% | 0.41% | 0.00% | 0.25% | -1.43% | 0.76% | -1.33% | -0.55% | 1.22% | 0.40% | -1.06% | 0.91% |
| 0.42% | 0.48% | 0.21% | 0.06% | 0.90% | 0.29% | 0.31% | 0.45% | 0.13% | -0.23% | 0.33% | 0.25% | 3.65% |
| 0.49% | 0.81% | 0.66% | 0.26% | 0.23% | -1.07% | -0.06% | 0.15% | 0.56% | 0.64% | 0.45% | 0.05% | 3.21% |
| 0.91% | 1.08% | 0.28% | -0.17% | -0.59% | 0.21% | 1.13% | 0.10% | 0.13% | 0.20% | 0.48% | 0.79% | 4.65% |
| -0.04% | 0.14% | -0.46% | -0.46% | -0.02% | -0.47% | -0.32% | -0.23% | -0.44% | 0.33% | -0.34% | 0.38% | -1.92% |
| 0.30% | 0.10% | 0.34% | 0.25% | -0.15% | -0.06% | 0.01% | 0.35% | -0.26% | 0.03% | 0.49% | -0.01% | 1.41% |
| -0.04% | -0.47% | 0.24% | 0.69% | 0.65% | 0.08% | 0.64% | 0.34% | 0.43% | 0.08% | 0.02% | 0.14% | 2.83% |
| 0.07% | -0.11% | -0.35% | 0.11% | 0.15% | -0.33% | -0.46% | -0.23% | -1.45% | -1.92% | -0.07% | 0.05% | -4.45% |
HFRI-I Liquid Alternative UCITS Relative Value Index Statistics
Risk/Return
| Type | B1 | B2 | B3 | HFRIILRV |
|---|---|---|---|---|
| Geo. Average Monthly | 0.3 | 0.15 | 0.72 | 0.12 |
| Std. Deviation | 1.91 | 1.59 | 4.71 | 1.02 |
| High Month | 5.86 | 3.91 | 12.82 | 2.83 |
| Low Month | -9.08 | -7.63 | -16.8 | -8.62 |
| Annualized Return | 3.72 | 1.82 | 8.97 | 1.49 |
| Annualized STD | 6.63 | 5.5 | 16.31 | 3.53 |
| Risk Free Rate | 0.68 | 0.68 | 0.68 | 0.68 |
| Sharpe Ratio | 0.48 | 0.23 | 0.57 | 0.24 |
| % of Winning Mo. | 62.64 | 62.64 | 66.48 | 63.19 |
| Max Drawdown | 20.05 | 20.11 | 46.39 | 9.85 |
Statistics calculated since inception of index
Risk-Free Rate = the 3-month US Treasury Constant Maturity Rate
Regression
| Type | B1 | B2 | B3 |
|---|---|---|---|
| Alpha | 0 | 0.05 | 0.01 |
| Beta | 0.4 | 0.47 | 0.14 |
| Mnt. R-Squared | 0.55 | 0.53 | 0.4 |
| Correlation | 0.74 | 0.73 | 0.63 |
| Up Alpha | 0.09 | 0.14 | 0.1 |
| Up Beta | 0.29 | 0.37 | 0.11 |
| Up R-Squared | 0.27 | 0.23 | 0.22 |
| Down Alpha | 0.36 | 0.18 | 0.22 |
| Down Beta | 0.58 | 0.55 | 0.18 |
| Down R-Squared | 0.56 | 0.44 | 0.24 |
Statistics calculated since inception of index
Risk-Free Rate = the 3-month US Treasury Constant Maturity Rate
HFRI-I Liquid Alternative UCITS Relative Value Index Description
The HFRI-I Liquid Alternative UCITS Relative Value Index is designed to be representative of the composition of the UCITS-compliant alternative investments employing Relative Value strategies. The underlying constituents are equally weighted and rebalanced on a quarterly basis.
Index Constituents Content Block
HFR Indices Constituents
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