Select An HFRI-I Liquid Alternative UCITS Indices Index:
Performance Snapshot As of: 08/2023
Total Return
| One Year | Three Year | Five Year | Ten Year |
|---|---|---|---|
| 5.10% | 4.11% | 7.06% | 22.50% |
Annualized Return
| Three Year Ann. | Five Year Ann. | Ten Year Ann. |
|---|---|---|
| 1.35% | 1.37% | 2.05% |
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% | -0.81% | 0.36% | 0.26% | 0.90% | 1.41% | -0.46% | 3.34% | ||||
| -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 | 0.31 | 0.15 | 0.77 | 0.13 |
| Std. Deviation | 1.89 | 1.56 | 4.66 | 1.01 |
| High Month | 5.86 | 3.91 | 12.82 | 2.83 |
| Low Month | -9.08 | -7.63 | -16.8 | -8.62 |
| Annualized Return | 3.76 | 1.85 | 9.61 | 1.54 |
| Annualized STD | 6.56 | 5.42 | 16.15 | 3.51 |
| Risk Free Rate | 0.83 | 0.83 | 0.83 | 0.83 |
| Sharpe Ratio | 0.47 | 0.21 | 0.6 | 0.22 |
| % of Winning Mo. | 62.23 | 62.77 | 67.02 | 63.3 |
| 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 | 0.06 | 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 | 0.1 | 0.16 | 0.1 |
| Up Beta | 0.3 | 0.36 | 0.11 |
| Up R-Squared | 0.27 | 0.23 | 0.21 |
| Down Alpha | 0.34 | 0.16 | 0.21 |
| Down Beta | 0.57 | 0.54 | 0.18 |
| Down R-Squared | 0.56 | 0.43 | 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
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
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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.
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