The construction of the HedgeIndex Main Index begins with defining the universe it aims to measure. HedgeIndex LLC utilizes its Hedge Fund Database, which represents the broader hedge fund industry. To qualify for inclusion in the index universe, funds must meet the following criteria: a minimum of $50 million in assets under management (AUM), a track record of at least one year, and current audited financial statements.
Funds are categorized into nine primary subcategories based on their investment styles. The index is designed to represent at least 85% of the AUM within each respective subcategory. The methodology evaluates the proportion of assets allocated to each subcategory and selects funds accordingly to ensure the index mirrors the structure of the broader universe.
The index is calculated and rebalanced monthly, with fund selections reviewed and adjusted quarterly as needed.
How does the HedgeIndex Main Index differ from other hedge fund indexes on the market?The HedgeIndex MainIndex is a prominent asset-weighted index that follows a rules-based construction methodology. It identifies its constituent funds with the goal of minimizing subjectivity in the selection process. The index is designed to offer broad representation of the hedge fund universe.
Does the HedgeIndex Main Index use net or gross data?Performance data used in the index is net of all fees.
Are funds of funds included in the HedgeIndex Main Index?Funds of funds are not included.
Are funds that are closed to new investment included in the HedgeIndex Main Index?Closed funds are included to insure that the index is an accurate barometer of hedge fund performance.
Does the HedgeIndex Main Index include hedge funds from all over the world, or only US hedge funds?The index includes funds worldwide.
When does the HedgeIndex Main Index begin?The index is calculated from January 1994, with a live date of October 1999.
Does the HedgeIndex Main Index include managed accounts?The index only uses the AUM and performance data of actual hedge funds.
How often will the HedgeIndex Main Index be reselected and how will this be done?The HedgeIndex Main Index will be reselected on a quarterly basis. The number of funds is determined by the top 85th percentile of AUM in each strategy. The qualifying fund size therefore varies at each selection and by strategy.
When is a fund removed from the HedgeIndex Main Index?A fund will be dropped from the index in the following circumstances: The fund fails to report monthly performance and AUM for two consecutive months; the fund fails to comply with the rules relating to the provision of financial information; the fund ceases operation.
How are new funds added to the HedgeIndex Main Index?New funds are added to the index on a "going-forward" basis only. Funds are selected by demonstrating sufficient AUM to qualify in the top 85th percentile of aggregate AUM in that fund's strategy, and by satisfying other rules. Please see the Inclusion section of this site for further information.
How long must a fund's track record be to be included in the HedgeIndex Main Index?Funds must have a current audited financial statement. Most funds prepare audited financials on an annual basis. However, funds with assets of $500 million or more under management that have less than a one year track record can be included in the index, provided that they can supply audited financials or comparable verification of performance and assets.
Is the historic Index data adjusted as new funds are added to the HedgeIndex Main Index?No. Any new funds added to the index will contribute to the index on a going-forward basis only. The historic monthly figures will not be adjusted.
Will there be corrections to the HedgeIndex Main Index?Any adjustments will be made on a going-forward basis only, as is the typical practice with other major hedge fund indexes.
How soon after month end will the new HedgeIndex Main Index figures be released?Index figures are typically released on the 15th of each month or the subsequent business day (should the 15th fall on a holiday or weekend).
Will the performance and asset figures of the funds denominated in currencies other than US dollars be converted into US dollars?Yes. All figures are converted into US dollars.
Is the HedgeIndex Main Index affected by survivorship bias?Most indexes are affected by some form of survivorship bias. In order to minimize this effect, the index does not remove funds in the process of liquidation, and therefore captures all of the potential negative performance before a fund ceases to operate.
