Key Takeaways
- • Hedge Fund Research (HFR) launched the HFRL family of indices in June 2015, representing the performance of the liquid areas of the hedge fund industry.
- • The HFRL is built from the constituent universe of the HFRX, screened so that only positions that can be traded intraday are included, providing an intraday performance benchmark.
- • Initial HFRL offerings include the HFRL Global Index (HFRLHHFR), HFRL Equity Index (HFRLHEDG), and HFRL Event Driven Index (HFRLDRVN), with more HFRL indices planned later in 2015.
- • HFR president Kenneth J Heinz positions the HFRL as serving liquid alternative investors, a segment he describes as complementary to, rather than competing with, offshore hedge funds.
- • The announcement was accompanied by HFR winning Hedgeweek's Best North American Index Provider award for the fourth consecutive year.
Summary
Hedge Fund Research, Inc. (HFR) expanded its benchmark suite in June with the introduction of the HFRL family of indices, which track the performance of the liquid segments of the hedge fund industry. The launch adds to the existing HFRI, HFRX and HFRU index series that global investors and allocators use to benchmark hedge fund performance. According to HFR President Kenneth J Heinz, the HFRL draws on the universe of constituent funds in the HFRX to create an intraday performance benchmark, allowing investors to compare hedge fund performance with the market in real time.
Heinz noted that existing HFR data is published on different cadences: the HFRI is monthly, while the HFRU and HFRX provide daily data on a T+1 basis. The HFRL adds an intraday reference point. The HFRX's underlying constituents are separately managed accounts offering position-level transparency. HFRL indices are constructed using filtering, monitoring and quantitative constituent selection drawn from the HFR Database, and any HFRX positions that cannot be traded intraday are screened out.
Three HFRL indices are currently available: the HFRL Global Index (HFRLHHFR), which covers eligible strategies across Equity Hedge, Event Driven, Macro/CTA and Relative Value Arbitrage; the HFRL Equity Index (HFRLHEDG); and the HFRL Event Driven Index (HFRLDRVN). Heinz said the number of HFRL indices will be broadened later in 2015.
Heinz framed the product against growing investor demand for hedge fund exposure, which he attributed partly to the popularity of liquid alternatives. He argued that liquid alternatives do not directly compete with offshore hedge funds, since strategies such as activist and distressed debt are difficult to offer in liquid form. The article also reports that HFR won Hedgeweek's Best North American Index Provider award for the fourth year running, which HFR marked by thanking its readers and clients.
Heinz noted that existing HFR data is published on different cadences: the HFRI is monthly, while the HFRU and HFRX provide daily data on a T+1 basis. The HFRL adds an intraday reference point. The HFRX's underlying constituents are separately managed accounts offering position-level transparency. HFRL indices are constructed using filtering, monitoring and quantitative constituent selection drawn from the HFR Database, and any HFRX positions that cannot be traded intraday are screened out.
Three HFRL indices are currently available: the HFRL Global Index (HFRLHHFR), which covers eligible strategies across Equity Hedge, Event Driven, Macro/CTA and Relative Value Arbitrage; the HFRL Equity Index (HFRLHEDG); and the HFRL Event Driven Index (HFRLDRVN). Heinz said the number of HFRL indices will be broadened later in 2015.
Heinz framed the product against growing investor demand for hedge fund exposure, which he attributed partly to the popularity of liquid alternatives. He argued that liquid alternatives do not directly compete with offshore hedge funds, since strategies such as activist and distressed debt are difficult to offer in liquid form. The article also reports that HFR won Hedgeweek's Best North American Index Provider award for the fourth year running, which HFR marked by thanking its readers and clients.
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