Indices

Mean returns

The monthly index values are the respective mathematical means (average) of the monthly returns of all hedge fund constituents in the index at that time.

Return definition

The returns reported in the database as well as being included and calculated for indices are monthly returns provided by hedge funds on a monthly basis. The returns are measured in terms of the gain/loss of the total portfolio values by performance (net of all fees) and net AUM inflow/outflow are excluded from it.

Equal weighting

where n is number of funds

The indices are not asset-weighted. We simply give an overview of the average performance of hedge funds, without attempting to highlight monthly inflows and unjustly overweigh the performance of certain funds due to good marketing staff or location in investor hot spots.

Strategy classifications

Funds are categorised primarily based on their investment style. As well as utilising our in-house expertise of classifying hedge funds across various investment strategies, we have meticulously conferred with hedge fund managers to better understand their unique investment styles as well as run quantitative analysis on their individual performance numbers to classify each fund in a unique investment style bucket. We do not include duplicate funds in the indices.

Dead, closed and new funds

The returns for dead funds have been included in the indices to better capture the performance of each underlying strategy as well as to avoid for a survivorship bias. Historical returns for funds that liquidate will be maintained and reflected in the index values up to and including their last reporting month. Furthermore, since the rationale behind our suite of indices is relative benchmarking (rather than making them investible), funds that are closed for further capital inflows are also included in an index. For new funds that are added in, their performance numbers will only be included on a prospective basis and subject to a key index rule that returns prior to 3 months shall be locked in. This is to avoid for a backfilling bias as well as to ensure that index values prior to the most recent 3 months do not undergo changes over time.

Currency

Equal weighting also encompasses funds denominated in different currencies, such as US dollar, euro and Japanese yen. The index is purely an average of the performance of the constituent funds in their local currencies.

Unique funds

Only ‘unique’ funds are selected for the index (no duplicate share classes, currency denominations, onshore and offshore versions of the same fund, series, etc.).

Requirements on AUM

We do not have minimum AUM requirements for the funds to be selected into the indices. In a case where the fund has stopped reporting to us with the latest performance return, it will be removed from the list of current index constituents though it’s historical returns will be locked in and will continue to be reflected in the indices.

The Eurekahedge Short Volatility Hedge Fund Index

The Eurekahedge Short Volatility Index is an equally weighted index of 11¹ constituent funds. The index is designed to provide a broad measure of the performance of underlying hedge fund managers who take a net short view on implied volatility with a goal of positive absolute return. The strategy often involves the selling of options to take advantage of the discrepancies in current implied volatility versus expectations of subsequent implied or realized volatility.

The Eurekahedge Long Volatility Hedge Fund Index

The Eurekahedge Long Volatility Index is an equally weighted index of 10² constituent funds. The index is designed to provide a broad measure of the performance of underlying hedge fund managers who take a net long view on implied volatility with a goal of positive absolute return.

The Eurekahedge Relative Value Volatility Hedge Fund Index

The Eurekahedge Relative Value Volatility Index is an equally weighted index of 35³ constituent funds. The index is designed to provide a broad measure of the performance of underlying hedge fund managers that trade relative value or opportunistic volatility strategies. Managers utilising the strategy can pursue long, short or neutral views on volatility with a goal of positive absolute return. 

The Eurekahedge Tail Risk Hedge Fund Index

The Eurekahedge Tail Risk Index is an equally weighted index of 8⁴ constituent funds. The index is designed to provide a broad measure of the performance of underlying hedge fund managers that specifically seek to achieve capital appreciation during periods of extreme market stress.