What are the InvestHedge indices?
The InvestHedge Indices are designed to provide an accurate and impartial benchmark of global fund of hedge fund performance.
The indices are based on data compiled and contained within the InvestHedge Database which feeds into the InvestHedge league tables on a monthly basis.
All performance figures are inputted and checked individually to maintain an excellent level of accuracy.
Once a fund has a track record of three months it will appear in the league tables, but if submitted before the press date will be included before this period in the construction of its peer group index.
How funds qualify
The index consists of all fund of hedge funds and managed futures who submit their details to be listed in the InvestHedge Database.
How funds are classified
Once a fund fits the submission criteria it must then be classified into one of the existing categories. This is done by the Editor of InvestHedge in agreement with the fund managers.
As the market develops so too will the InvestHedge classifications over time. Categories may be added or modified to reflect the changes in the market. Notices will be posted on here to make you aware of such changes.
Methodology of indices calculations
Key strategies are given their own index so hedge fund managers can see the performance of their peer group as a whole. These figures are calculated using the performance data from the InvestHedge Database as it stands at the time InvestHedge goes to press.
All funds are included in the indices regardless of track record
All funds are equally weighed
Each Index is a median value of its peer group
All funds live and liquidated are included in the historical figures
Estimated index figures are released on the 5th working day with finals realeased on or around the 30th of the month.. They are published in Absolute Return and available on our website.
Every December the track record of all the indices will be reviewed to see if market changes and addition of new funds warrant any updates in their history. The first revision since the creation of InvestHedge was done in February 2004 and all indices were marginally adjusted to reflect the changes in the markets, reflecting more complete data capture and the continuing growth in the number of funds listed. The lastest revision was completed in March 2011.
Information & contact details
If you require any further information on InvestHedge data, research or indices, please contact us here.