HFR Risk Parity Indices

Transcription

1 HFR Rsk Pary Indces Defned Formulac Mehodology Hedge Fund Research, Inc. - All rghs reserved. HFR, HFRI, HFRX, HFRQ, HFRU, HFRL, HFR PorfoloScope, HEDGE FUND RESEARCH, HFR IndexScope, and HFR Rsk Pary Indces are he rademarks of Hedge Fund Research, Inc.

2 Table of Conens INTRODUCTION... 3 METHODOLOGY... 4 Elgbly Crera... 4 Defnons... 5 Annual Index Rebalance... 6 Addonal Rebalance Consderaons... 6 Index NAV Calculaon... 7 Index Dsrupon Even... 9 HFR RISK PARITY INDICES UPDATE SCHEDULE Hedge Fund Research, Inc. - All rghs reserved. HFR, HFRI, HFRX, HFRQ, HFRU, HFRL, HFR PorfoloScope, HEDGE FUND RESEARCH, HFR IndexScope, and HFR Rsk Pary Indces are he

3 Inroducon Hedge Fund Research, Inc. (HFR) operaes hrough s wholly owned subsdares: HFR Index, LLC: HFR Index, LLC s he Insuonal Sandard and he esablshed, global leader n he ndexaon and comprehensve performance benchmarkng of he global hedge fund ndusry. HFR Index publshes over 150 ndces across he HFRI, HFRX and HFRU Index famles whch are recognzed globally as he defnve benchmarks of hedge fund ndusry performance. HFR Indces are effecvely and acvely ulzed by leadng penson and soveregn wealh funds, global fnancal nsuons, ndvdual nvesors and hedge fund managers. HFR Research, LLC: HFR Research specalzes n he collecon, aggregaon, and analyss of alernave nvesmen nformaon. HFR Research produces he HFR Hedge Fund Daabase, one of he ndusry's mos wdely used commercal daabases of hedge fund and rsk pary sraeges, as well as a varey of oher research producs for he alernave nvesmen ndusry, ncludng he HFR Indusry Repor. The HFR Hedge Fund Daabase s currenly comprsed of over 6900 funds and fund of funds worldwde. Informaon on he hedge fund and rsk pary unverse of esablshed and emergng managers s colleced drecly from he fund managers and/or her respecve admnsraors, whle oher pernen nformaon s pulled from offerng memoranda, onse vss, and manager nervews. I also drecly negraes he fund managers wh he HFR Hedge Fund Daabase by provdng hem wh her own webse for updang her fund profle. In hs manner HFR ensures curren and accurae fund daa ha flows seamlessly from fund managers. HFR PorfoloScope, LLC: HFR PorfoloScope provdes users wh a cusomzable and dynamc reporng and vsualzaon engne, desgned o delver an nuve, n-deph undersandng of sngle- and mul-manager porfolos va poson level porfolo reporng, rsk analycs, performance arbuon and oher mercs Hedge Fund Research, Inc. - All rghs reserved. HFR, HFRI, HFRX, HFRQ, HFRU, HFRL, HFR PorfoloScope, HEDGE FUND RESEARCH, HFR IndexScope, and HFR Rsk Pary Indces are he

4 Mehodology The HFR Rsk Pary Indces are a seres of benchmarks desgned o reflec he performance of he unverse of managers ha employ a porfolo allocaon sraegy based on argeng rsk levels across he varous componens of an nvesmen porfolo. Rsk Pary s an approach o nvesmen porfolo managemen whch focuses on allocaon of rsk, usually defned as volaly, raher han allocaon of capal. Rsk pary funds are classfed no 3 man volaly arges: 10%, 12% and 15%. Funds wh a volaly arge of 10% or less are classfed as Volaly Targe: 10%. Funds wh a volaly arge of greaer han 10% and less han 15% are classfed as Volaly Targe: 12%. Funds wh a volaly arge of 15% or greaer are classfed as Volaly Targe: 15%. The HFR Rsk Pary Insuonal Indces represen he performance of he larges managers n he rsk pary fund ndusry. These funds mus have asses under managemen of USD $500MM or greaer a me of ncluson n he ndex. HFR Rsk Pary Indces are rebalanced on an annual bass on he frs busness day of he year. A he me of rebalance all ndex consuens wll be equally weghed. Elgbly Crera Consuens ncluded n he HFR Rsk Pary Indces mus: Repor monhly reurns n USD Repor Ne of All Fees reurns Repor asses under managemen The followng formula s used o defne he represenave Rsk Pary Fund Unverse ( Sraegy Unverse ) derved from he Global Rsk Pary Fund Unverse expressed as: HFU HFS where HFS s he se of rsk pary funds classfed accordng o her volaly arge Hedge Fund Research, Inc. - All rghs reserved. HFR, HFRI, HFRX, HFRQ, HFRU, HFRL, HFR PorfoloScope, HEDGE FUND RESEARCH, HFR IndexScope, and HFR Rsk Pary Indces are he

5 The funds comprsng he HFS are flered usng he followng formula o creae he Sraegy Unverse for a gven arge volaly: ( freq 12) ( fees ) ( ISO USD) ( Vol Vol Tg) H( AUM 1 _ mn) 0 0 AUM where H(x) s he sep funcon defned as 1 H ( x) 0 x 0 x 0 (x) s he dela funcon defned as 1 ( x) 0 x 0 x 0 and freq s he reporng frequency (12=monhly, 4=quarerly) fees s he reurns ne of all fees (0=yes, 1=no) ISO s he reporng currency Vol Tg s he volaly arge of he fund: 10%, >10% and <15% ( 12% ), and 15% AUM o-1 s he fund asses under managemen n USD a me corresponds o 1 monhs before he rebalance dae 0, (.e. he December pror o he January rebalance) AUM_mn corresponds o he mnmum AUM requred for qualfcaon ($500 mllon USD for he HFR Rsk Pary Insuonal Indces and 0 for he res) In cases where a manager lss mulple funds wh he same or smlar nvesmen profle, HFR chooses only he mos represenave fund for HFR Rsk Pary Index ncluson. Defnons For he clary of he rebalance process we defne: Index Manager: Hedge Fund Research, Inc., responsble for he calculaon of he Index. Rebalance Dae: he frs busness dae of he calendar year. Evaluaon Dae: he monh sarng 1 monh pror o he Rebalance Dae Hedge Fund Research, Inc. - All rghs reserved. HFR, HFRI, HFRX, HFRQ, HFRU, HFRL, HFR PorfoloScope, HEDGE FUND RESEARCH, HFR IndexScope, and HFR Rsk Pary Indces are he

6 Evaluaon Crera: performance repored monhly n USD, ne of all fees, and wh or whou mnmum asses under managemen of $500 MM. Annual Index Rebalance The followng rebalance mehodology s appled on HFR Rsk Pary Indces: The elgble unverse of consuens s deermned a he Evaluaon Dae. The consuens are seleced based on her asse under managemen as of he Evaluaon Dae. Each consuen s assgned wh he same wegh on each Rebalance Dae. A maxmum number of consuens from each frm may be lmed for opmal Index dversfcaon purposes. The Index s rebalanced on an annual bass. Addonal Rebalance Consderaons An Index consuen may be removed from he Index f fals o mee he Evaluaon Crera on or before he Rebalance Dae. In such a case, he wegh of he consuen would be allocaed equally o he remanng consuens of he Index or allocaed o a replacemen prospecve consuen. An Index consuen may be subjec for removal from he Index for due dlgence concerns or falure. In such a case, upon removal, he wegh of he consuen would be allocaed equally o he remanng consuens of he Index or allocaed o a replacemen consuen. If an Index consuen s wegh canno be mananed beween Rebalance Daes, he consuen may reman n he Index a a reduced wegh, s wegh may be reallocaed equally o he remanng consuens or may be replaced wh a smlar qualfyng prospecve consuen as avalable. An Index consuen may be replaced or removed wh anoher qualfyng prospecve consuen beween rebalance daes as requred Hedge Fund Research, Inc. - All rghs reserved. HFR, HFRI, HFRX, HFRQ, HFRU, HFRL, HFR PorfoloScope, HEDGE FUND RESEARCH, HFR IndexScope, and HFR Rsk Pary Indces are he

7 A fund may be added o he Index beween Rebalance Daes f mees he Evaluaon Crera and f n he deermnaon of HFR he fund would enhance he represenaveness of he Index. In such nsance, he wegh of he consuens would hen be allocaed equally across he expanded ls of consuens of he Index. Index NAV Calculaon HFR Rsk Pary Indces (he Index and collecvely, Indces ) are oal reurn ndces and are publshed by HFR a and on Bloomberg. Compuaon of he Index NAV uses acual performance of consuen funds as repored o Hedge Fund Research, Inc. Performance reflecs consuen fund managemen fees, ncenve fees, dvdends and oher dsrbuons. The HFR Rsk Pary Indces are frs publshed as esmaes and hen no fnalzed unl wo monhs have elapsed. The Index NAV s 1000 a ncepon where =0. The NAV changes are drven by he Index performance, whch s defned as he percenage change n he value of he Index from a prevous dae -1 o curren dae. A rebalance me 0, consuens are equal weghed so he NAV of he HFR Rsk Pary Index s defned as NAV NAV ( 1 ROR ) where ROR s he percenage change n he oal value of he Index from 0-1 o 0 compued as: 0 n 1 ROR ROR 0 0 n where ROR 0 s he rae of reurn of consuen a me 0 and n s he number of consuens n he Index. 1 The NAV of he HFR Rsk Pary Index a any oher mes s compued as NAV NAV 1 (1 ROR ) Hedge Fund Research, Inc. - All rghs reserved. HFR, HFRI, HFRX, HFRQ, HFRU, HFRL, HFR PorfoloScope, HEDGE FUND RESEARCH, HFR IndexScope, and HFR Rsk Pary Indces are he

8 where ROR s he percenage change n he oal value of he Index from -1 o as follows: ROR n 1 w ROR where Index and ROR s he oal reurn of consuen a me, n s he number of consuens n he w s he wegh of consuen a he begnnng of monh compued as w n (1 R j1 1 (1 R ) j 1 ) where -1 : R 1 s he cumulave oal reurn of consuen beween he rebalance dae 0 and me 1 1 ' 1 R (1 ROR ). 0 ' If a consuen k ceases o be a consuen of he Index a gven me before he rebalance dae, s wegh s hen equally dsrbued o he remanng consuens n he Index; he new consuen weghs are gven by wh k. w ' 1 k w ' w ', n Hedge Fund Research, Inc. - All rghs reserved. HFR, HFRI, HFRX, HFRQ, HFRU, HFRL, HFR PorfoloScope, HEDGE FUND RESEARCH, HFR IndexScope, and HFR Rsk Pary Indces are he

9 Index Dsrupon Even Index Dsrupon Even means: (1) where, n he deermnaon of Hedge Fund Research, Inc., s no possble or s no reasonably praccable for o deermne he prce or value of a consuen; or (2) a value for a consuen s no announced or s oherwse unavalable when such announcemen or avalably would normally be scheduled; or (3) he occurrence of an even or crcumsance (ncludng, whou lmaon, a major marke dsrupon, a sysems falure, naural or man-made dsaser, ac of God, armed conflc, ac of errorsm, ro or labor dsrupon or any smlar nervenng crcumsance) ha Hedge Fund Research Inc. deermnes affecs he Index. (4) he occurrence of oher even or crcumsance (ncludng, whou lmaon, a personnel loss, a sgnfcan clen(s) redempon, an aud holdback, a sde pocke mplemened, redempons suspended / Gae acvaed, reduced lqudy of lqudang consuen, money launderng charges, Cyber secury breach / Clen nfo leaked or solen, Fraud, breach of any law, regulaon or rule, Marke specfc shor bans or suspensons, Major repuaon hurng sory or any smlar nervenng crcumsance) ha Hedge Fund Research Inc. deermnes affecs he Index. If, n he deermnaon of Hedge Fund Research, Inc., any of he foregong s maeral. Upon he occurrence of an Index Dsrupon Even on any day on whch he offcal closng level of he Index s scheduled o be publshed, Hedge Fund Research, Inc. () shall no calculae and publsh he Index Level and/or () f relevan, may make such adjusmens o he provsons of he Index o accoun for such Index Dsrupon Even as deermnes approprae, ncludng, whou lmaon, delayng he applcaon of any procedures or requremens of he Index. Noes regardng performance pror o 2017 Performance of he HFR Rsk Pary Indces pror o 2017 reflecs he sraegy and asse groupng classfcaon of he consuen funds as of January Funds have been ncluded n he Indces snce her frs launch monh. The Indces reflec annual rebalance as well as rebalances occurrng when a new fund was added as consuens o he Indces Hedge Fund Research, Inc. - All rghs reserved. HFR, HFRI, HFRX, HFRQ, HFRU, HFRL, HFR PorfoloScope, HEDGE FUND RESEARCH, HFR IndexScope, and HFR Rsk Pary Indces are he

10 HFR Rsk Pary Indces Updae Schedule The HFR Rsk Pary Indces are updaed hree mes a monh. The Flash Updae (5h busness day of he monh), Md Updae (15h of he monh - or neares busness day), and End Updae (1s busness day of followng monh). The HFR Rsk Pary Indces are frs publshed as esmaes and hen no fnalzed unl wo monhs have elapsed. Please noe ha he HFR Rsk Pary Indces are no publshed on New York Sock Exchange (NYSE) non-radng holdays, bu on he followng busness day. Specfc updae schedule can be found n HFR s webse: Hedge Fund Research, Inc. - All rghs reserved. HFR, HFRI, HFRX, HFRQ, HFRU, HFRL, HFR PorfoloScope, HEDGE FUND RESEARCH, HFR IndexScope, and HFR Rsk Pary Indces are he

11 Accompanyng Noes The nformaon conaned n hs repor was prepared by Hedge Fund Research, Inc., and may be dsrbued by one or more of s afflaes. Publshed by Hedge Fund Research, Inc. Reproducon n whole or n par prohbed excep by permsson. Informaon has been obaned by Hedge Fund Research, Inc. from sources beleved o be relable. However, because of he possbly of human or mechancal error by our sources, Hedge Fund Research, Inc. or ohers, does no guaranee he accuracy, adequacy, or compleeness of any nformaon and s no responsble for any errors or omsson or for he resuls obaned from he use of such nformaon. Hedge Fund Research, Inc. analyses are no recommendaons o purchase, sell, or hold a secury, n as much as hey do no commen as o suably for a parcular nvesor. The analyses are based on curren nformaon furnshed o Hedge Fund Research, Inc. by he fund(s). Hedge Fund Research, Inc. does no perform an aud n connecon wh any analyses and may, on occason, rely on unauded fnancal nformaon. Any daa presened may be changed, suspended, or whdrawn as a resul of changes n, or unavalably of, such nformaon, or based on oher crcumsances. HFR Rsk Pary Index nformaon s publcly avalable a and s subjec o change a any me whou noce. The HFR Rsk Pary Indces are compled by Hedge Fund Research, Inc. and are no nvesable producs and are provded for nformaonal purposes. Documen las updaed January 31, 2018 Hedge Fund Research, Inc. 10 S. Rversde Plaza, Sue 700 Chcago, IL (312) ndces@hfr.com Hedge Fund Research, Inc. - All rghs reserved. HFR, HFRI, HFRX, HFRQ, HFRU, HFRL, HFR PorfoloScope, HEDGE FUND RESEARCH, HFR IndexScope, and HFR Rsk Pary Indces are he