HFRI Fund Weighted Composite Index

The HFRI Fund Weighted Composite Index is an equally weighted performance index of the HFRI hedge fund strategy indices. The HFRI hedge fund strategy indices are broken down into 32 different indices (the fund of funds indices are not included in the HFRI Fund Weighted Composite Index) and are not investable.

To be included in this index, the hedge funds must fulfill the following criteria:
  • Report monthly returns to HFRI
  • Report net of all fees returns
  • Report assets in USD
There is no required asset-size minimum to be included in the HFRI Fund Weighted Composite Index; the names of the individual hedge funds are not disclosed and there is no requirement for a certain track record length to be part of the index. A fund that does not report any longer will have its past returns kept in the index but will not be used in the future (possible survivorship bias).

The HFRI Fund Weighted Composite Index contains around 49% equity hedge, 10% event driven, 9% emerging markets, 8% macro, 8% convertible arbitrage, 7% relative value, 5% fixed income, and 4% distressed hedge funds.

HFRI Fund Weighted Composite Index
HFRI Fund Weighted Composite Index