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 |
|---|---|---|---|
| 2.79% | 5.63% | 5.33% | n/a |
Annualized Return
| Three Year Ann. | Five Year Ann. | Ten Year Ann. |
|---|---|---|
| 1.84% | 1.04% | n/a |
HFRI-I Liquid Alternative UCITS RV: 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 0.89% | 0.38% | 1.27% | ||||||||||
| -0.28% | -0.73% | -0.08% | 0.19% | 0.40% | -1.19% | 0.59% | -0.23% | -0.74% | 1.32% | 0.87% | 0.39% | 0.47% |
| 0.15% | -0.02% | 0.53% | 0.64% | 0.43% | -0.19% | 0.24% | -0.15% | 0.03% | -0.43% | -0.21% | 1.01% | 2.05% |
| 0.14% | -0.97% | -6.25% | 2.38% | 0.86% | 0.65% | 1.48% | 0.56% | -0.12% | 0.20% | 1.22% | 0.99% | 0.88% |
| 1.94% | 0.50% | -0.07% | 0.11% | -0.89% | 0.90% | 0.57% | -1.05% | 0.04% | 0.34% | 0.19% | 0.55% | 3.13% |
| 0.97% | -1.61% | -0.37% | 0.76% | -0.62% | -1.04% | 0.38% | -0.26% | 0.47% | -0.92% | -0.71% | -0.20% | -3.14% |
HFRI-I Liquid Alternative UCITS RV: Multi-Strategy Index Statistics
Risk/Return
| Type | B1 | B2 | B3 | HFRIIRMS |
|---|---|---|---|---|
| Geo. Average Monthly | 0.38 | 0.27 | 0.79 | 0.07 |
| Std. Deviation | 2.23 | 1.79 | 5.37 | 1.11 |
| High Month | 5.86 | 3.91 | 12.82 | 2.38 |
| Low Month | -9.08 | -7.63 | -12.35 | -6.25 |
| Annualized Return | 4.69 | 3.25 | 9.87 | 0.88 |
| Annualized STD | 7.71 | 6.19 | 18.59 | 3.86 |
| Risk Free Rate | 1.42 | 1.42 | 1.42 | 1.42 |
| Sharpe Ratio | 0.45 | 0.32 | 0.52 | -0.12 |
| % of Winning Mo. | 59.68 | 61.29 | 64.52 | 59.68 |
| Max Drawdown | 11.55 | 9.04 | 23.87 | 8.02 |
Statistics calculated since inception of index
Risk-Free Rate = the 3-month US Treasury Constant Maturity Rate
Regression
| Type | B1 | B2 | B3 |
|---|---|---|---|
| Alpha | -0.09 | -0.06 | -0.05 |
| Beta | 0.42 | 0.5 | 0.14 |
| Mnt. R-Squared | 0.69 | 0.65 | 0.47 |
| Correlation | 0.83 | 0.81 | 0.68 |
| Up Alpha | 0.02 | 0.1 | -0.15 |
| Up Beta | 0.3 | 0.32 | 0.15 |
| Up R-Squared | 0.4 | 0.3 | 0.41 |
| Down Alpha | 0.36 | 0.37 | 0.51 |
| Down Beta | 0.63 | 0.76 | 0.23 |
| Down R-Squared | 0.77 | 0.74 | 0.31 |
Statistics calculated since inception of index
Risk-Free Rate = the 3-month US Treasury Constant Maturity Rate
HFRI-I Liquid Alternative UCITS RV: Multi-Strategy Index Description
Relative Value Multi-Strategies employ an investment thesis is predicated on realization of a spread between related yield instruments in which one or multiple components of the spread contains a fixed income, derivative, equity, real estate, MLP or combination of these or other instruments. Strategies are typically quantitatively driven to measure the existing relationship between instruments and, in some cases, identify attractive positions in which the risk adjusted spread between these instruments represents an attractive opportunity for the investment manager. In many cases these strategies may exist as distinct strategies across which a vehicle which allocates directly, or may exist as related strategies over which a single individual or decision making process manages. Multi-strategy is not intended to provide broadest-based mass market investors appeal, but are most frequently distinguished from others arbitrage strategies in that they expect to maintain >30% of portfolio exposure in 2 or more strategies meaningfully distinct from each other that are expected to respond to diverse market influences. 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
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