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 |
|---|---|---|---|
| 6.27% | -2.61% | 4.02% | n/a |
Annualized Return
| Three Year Ann. | Five Year Ann. | Ten Year Ann. |
|---|---|---|
| -0.88% | 0.79% | n/a |
HFRI-I Liquid Alternative UCITS RV: Fixed Income-Sovereign 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2.64% | -1.49% | 1.16% | 0.31% | -0.26% | 1.61% | 2.41% | -1.85% | 4.52% | ||||
| -0.27% | -1.71% | 0.02% | -2.02% | -0.25% | -4.98% | 0.45% | 0.71% | -3.06% | -0.72% | 4.34% | 1.23% | -6.34% |
| -0.41% | -0.15% | -1.03% | 1.00% | 0.73% | -0.42% | -1.03% | 0.66% | -2.09% | -0.93% | -2.59% | 1.28% | -4.95% |
| -0.10% | -1.63% | -7.12% | 1.88% | 3.41% | 1.32% | 2.04% | 0.64% | -1.02% | -0.29% | 3.55% | 2.43% | 4.74% |
| 1.95% | 0.14% | 0.02% | 0.31% | -0.18% | 1.80% | 0.27% | -0.89% | 0.97% | 1.31% | -0.62% | 2.20% | 7.49% |
| 1.69% | -0.60% | 0.15% | -0.73% | -2.11% | -1.21% | 2.22% | -2.94% | 1.64% | -0.70% | -1.48% | -0.13% | -4.26% |
HFRI-I Liquid Alternative UCITS RV: Fixed Income-Sovereign Index Statistics
Risk/Return
| Type | B1 | B2 | B3 | HFRIIFIS |
|---|---|---|---|---|
| Geo. Average Monthly | 0.38 | 0.26 | 0.92 | 0 |
| Std. Deviation | 2.15 | 1.72 | 5.2 | 1.9 |
| High Month | 5.86 | 3.91 | 12.82 | 4.34 |
| Low Month | -9.08 | -7.63 | -12.35 | -7.12 |
| Annualized Return | 4.71 | 3.22 | 11.6 | 0.05 |
| Annualized STD | 7.45 | 5.94 | 18 | 6.59 |
| Risk Free Rate | 1.76 | 1.76 | 1.76 | 1.76 |
| Sharpe Ratio | 0.42 | 0.27 | 0.6 | -0.23 |
| % of Winning Mo. | 58.82 | 61.76 | 66.18 | 50 |
| Max Drawdown | 11.55 | 9.04 | 23.87 | 15.84 |
Statistics calculated since inception of index
Risk-Free Rate = the 3-month US Treasury Constant Maturity Rate
Regression
| Type | B1 | B2 | B3 |
|---|---|---|---|
| Alpha | -0.25 | -0.2 | -0.22 |
| Beta | 0.66 | 0.8 | 0.23 |
| Mnt. R-Squared | 0.56 | 0.52 | 0.41 |
| Correlation | 0.75 | 0.72 | 0.64 |
| Up Alpha | -0.25 | -0.16 | -0.13 |
| Up Beta | 0.64 | 0.78 | 0.21 |
| Up R-Squared | 0.3 | 0.29 | 0.15 |
| Down Alpha | -0.06 | -0.25 | 0.04 |
| Down Beta | 0.75 | 0.78 | 0.29 |
| Down R-Squared | 0.52 | 0.41 | 0.26 |
Statistics calculated since inception of index
Risk-Free Rate = the 3-month US Treasury Constant Maturity Rate
HFRI-I Liquid Alternative UCITS RV: Fixed Income-Sovereign Index Description
Fixed Income - Sovereign includes strategies in which the investment thesis is predicated on realization of a spread between related instruments in which one or multiple components of the spread is a sovereign fixed income instrument. Strategies employ an investment process designed to isolate attractive opportunities between a variety of fixed income instruments, typically realizing an attractive spread between multiple sovereign bonds or between a corporate and risk free government bond. Fixed Income Sovereign typically employ multiple investment processes including both quantitative and fundamental discretionary approaches and relative to other Relative Value Arbitrage sub-strategies, these have the most significant top-down macro influences, relative to the more idiosyncratic fundamental approaches employed. RV: Fixed Income: Sovereign funds would typically have a minimum of 50% exposure to global sovereign fixed income markets, but characteristically maintain lower net exposure than similar strategies in Macro: Multi-Strategy sub-strategy. 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.