The HFRI Monthly Indices (HFRI) are equally weighted performance indexes, utilized by numerous hedge fund managers as a benchmark for their own hedge funds. The HFRI are broken down into 37 different categories by strategy, including the HFRI Fund Weighted Composite, which accounts for over 1400 funds listed on the internal HFR Database. Due to mutual agreements with the hedge fund managers listed in the HFR Database, we are not at liberty to disclose the particular funds behind any index. However, with a subscription to the licensed/redistributed HFR Database, you can receive the number of funds and average asset size per fund for each index, as well as the breakdown of the onshore/offshore HFR sub-indices.
Funds included in the HFRI Monthly Indices must:
Report monthly returns
Report Net of All Fees Returns
Report assets in USD
Indices Notes:
All HFRI are fund weighted (equal weighted).
There is no required asset-size minimum for fund inclusion in the HFRI.
There is no required length of time a fund must be actively trading before inclusion in the HFRI.
The trailing 4 months are left as estimates and are subject to change. All performance prior to that is locked and is no longer subject to change. The HFRI are updated 3 times a month (flash, mid, & end).
If a fund liquidates/closes, that fund's performance will be included in the HFRI as of that fund's last reported performance update.
The HFRI Fund of Funds Index is not included in the HFRI Fund Weighted Composite Index.
Both domestic and offshore funds are included in the HFRI.
1) Do the HFR Monthly Indices (HFRI) differ from other hedge fund indices on the market?
All HFRI are fund-weighted (equal-weighted). Unlike asset-weighting, the equal-weighting of indices presents a more general picture of performance of the hedge fund industry. Plus, any bias towards the larger funds is greatly reduced, especially for strategies with a smaller number of funds.
2) What are the criteria used to include hedge funds in HFRI?
For hedge funds to be included in HFRI, they must report returns net of all fees on a monthly basis, along with their month-end fund asset size in US dollars.
3) Is there an asset-size requirememt for inclusion of a fund in HFRI?
No. As long as a fund reports assets in USD, its performance will be included.
4) How long of a track record must a fund have to be included in HFRI?
There is no required length of time a fund must be running before being added to the HFRI.
5) How often are the HFRI Monthly Indices updated?
The indices are updated three times a month:
Flash Update – 5th business day of the month.
Mid Update – 15th of the month.
End Update – 1st business day of following month.
The current month and the prior three months are left as estimates and are subject to change. All performance prior to that is locked.
6) How is the survivorship bias taken into consideration?
When a fund liquidates or closes, its performance remains in the indices as of its last performance report date.
7) How is HFRI Fund Weighted Composite Index calculated?
HFRI Fund Weighted Composite Index is an equal-weighted return of all funds in the HFR Monthly Indices, excluding HFRI Fund of Funds Index.
8) How many funds are in HFRI?
There are currently over 1400 funds included in HFRI Fund Weighted Composite.
9) When is a fund removed from HFRI?
A fund will be dropped from the Indices if any of the following circumstances are met:
The fund stops reporting monthly performance.
The fund stops reporting performance in US dollars.
The fund stops reporting net-of-fees performance.
The fund closes to new investors and stops reporting to HFR.
The fund liquidates.
10) How often will new funds be added to HFRI?
HFR frequently adds new funds to its database. If these new funds meet the listing requirements, it will be included immediately.
11) Is the historic index data adjusted as new funds are added to the indices?
No. When a new fund is added to the HFRI, the historical performance of this fund will not affect the historical HFRI, only the trailing four months, which are kept as estimates.
12) Is it possible that one fund is included in more than one index?
HFR categorizes each fund in its Database into one particular strategy, which in turn is then included in that respective Index (if it meets the requirements). The only time a fund would be listed in more than one index is if a fund is categorized as "Emerging Markets", "Fixed Income", or "Sector". Each of these Indices has sub-categories. For example, if a fund is categorized into the "Sector: Technology" strategy, it would then be included in HFRI Sector (Total) Index, as well as HFRI Sector: Technology Index.
13) What is the difference between HFRI Monthly Indices and HFRX Indices?
HFRI Monthly Indices are comprised of over 1400 funds listed on the HFR Database, managed by Hedge Fund Research, Inc.
The HFRX Indices consists of eight primary hedge fund strategy indices and an asset-weighted Global Index each providing a statistically pure proxy to the universe of Hedge Funds. The individual strategy indices and the overall composite (Global Index) have each been designed to offer full transparency, daily re-pricing, consistent fund selection — asset-weighted and rebalanced on a quarterly basis, stringent risk management, and strict reporting standards. For further information on HFRX Indices, please click here.
14) Do I need permission to use data from the HFRI Indices in a newsletter, web page, or other communications?
You may utilize HFRI Indices data on a limited basis if you attribute Hedge Fund Research as the source of such information. Please review the Redistribution of Content section of our Terms of Use.