HFRU Hedge Fund Composite CHF Index
Performance Snapshot
Total Return
| One Year | Three Year | Five Year | Ten Year |
|---|---|---|---|
| 2.45% | -2.71% | 1.47% | 5.66% |
Annualized Return
| Three Year Ann. | Five Year Ann. | Ten Year Ann. |
|---|---|---|
| -0.91% | 0.29% | 0.55% |
Performance History
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| Year | Jan (%) | Feb (%) | Mar (%) | Apr (%) | May (%) | Jun (%) | Jul (%) | Aug (%) | Sep (%) | Oct (%) | Nov (%) | Dec (%) | YTD (%) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -0.10% | 0.58% | 1.08% | 1.56% | |||||||||
| 2023 | 1.75% | -0.34% | -1.07% | -0.01% | -0.76% | 0.73% | 0.66% | -0.62% | -0.59% | -1.25% | 1.56% | 1.17% | 1.19% |
| 2022 | Value blurred out. | Value blurred out. | Value blurred out. | -0.67% | -0.65% | -2.26% | 0.92% | -0.25% | -2.01% | 0.93% | 1.08% | -0.91% | -6.99% |
| 2021 | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. |
| 2020 | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. |
| 2019 | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. |
| 2018 | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. |
| 2017 | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. |
| 2016 | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. |
| 2015 | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. |
| 2014 | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. |
| 2013 | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. |
| 2012 | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. |
| 2011 | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. |
| 2010 | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. |
| 2009 | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. |
| 2008 | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. |
Key Statistics
Index Comparisons — B1: HFRI Fund Weighted Composite Index, B2: HFRI Fund of Funds Composite Index, B3: S&P 500 Index Total Return.
Risk/Return
| Type | B1 | B2 | B3 | HFRUHFCC |
|---|---|---|---|---|
| Geo. Average Monthly | 0.34 | 0.18 | 0.82 | 0.06 |
| Std. Deviation | 1.89 | 1.56 | 4.66 | 1.11 |
| High Month | 5.86 | 3.91 | 12.82 | 3.82 |
| Low Month | -9.08 | -7.63 | -16.8 | -6.29 |
| Annualized Return | 4.12 | 2.21 | 10.35 | 0.76 |
| Annualized STD | 6.56 | 5.41 | 16.14 | 3.85 |
| Risk Free Rate | 0.99 | 0.99 | 0.99 | 0.99 |
| Sharpe Ratio | 0.5 | 0.25 | 0.63 | -0.04 |
| % of Winning Mo. | 62.56 | 63.08 | 67.18 | 57.95 |
| Max Drawdown | 20.05 | 20.11 | 46.39 | 12.58 |
Statistics calculated since inception of index
Risk-Free Rate = the 3-month US Treasury Constant Maturity Rate
Regression
| Type | B1 | B2 | B3 |
|---|---|---|---|
| Alpha | -0.11 | -0.05 | -0.1 |
| Beta | 0.51 | 0.6 | 0.18 |
| Mnt. R-Squared | 0.74 | 0.7 | 0.55 |
| Correlation | 0.86 | 0.84 | 0.74 |
| Up Alpha | 0.01 | 0.02 | 0.02 |
| Up Beta | 0.44 | 0.58 | 0.15 |
| Up R-Squared | 0.51 | 0.46 | 0.32 |
| Down Alpha | -0.12 | -0.22 | -0.23 |
| Down Beta | 0.52 | 0.52 | 0.16 |
| Down R-Squared | 0.59 | 0.5 | 0.24 |
Statistics calculated since inception of index
Risk-Free Rate = the 3-month US Treasury Constant Maturity Rate
Index Description
The HFRU Hedge Fund Composite CHF Index is designed to be representative of the overall composition of the UCITS-compliant alternative investment strategy universe. It is comprised of all eligible alternative investment strategies; including, but not limited to equity hedge, event driven, macro, and relative value arbitrage. The underlying constituents are equally weighted. The HFRU Indices are rebalanced on a quarterly basis. The HFRU Hedge Fund Composite CHF Index is denominated in CHF.
HFR Indices Constituents
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