What are The AR: Absolute Return + Alpha Indices?
The AR: Absolute Return + Alpha Indices are designed to provide an accurate and impartial benchmark of hedge fund performance for the North American market.
The indices are based on data compiled and contained within the AR: Absolute Return + Alpha Database which feeds into the AR: Absolute Return + Alpha 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
Hedge Funds and Managed Futures regularly submit their details to be listed in the AR: Absolute Return + Alpha Database. A fund can only be added providing it is:
At least 80% managed or based North & South America
At this stage, there is no minimum size for a hedge fund to qualify.
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 AR: Absolute Return + Alpha in agreement with the fund managers.
As the market develops so too will the AR: Absolute Return + Alpha classifications over time. Categories may be added or modified to reflect the changes in the market, such as the recent addition of a new Mortgage Backed category. 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 AR: Absolute Return + Alpha Database as it stands at the time AR: Absolute Return + Alpha 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
Index figures are typically released on or around the 25th of each month and sent automatically to all data contacts contained within the database. They are published in AR: Absolute Return + Alpha and available online.
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 Absolute Return 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.
If you require any further information on AR: Absolute Return + Alpha data, research or indices, please contact Damian Alexander by email or on +44 (0) 20 7779 7361.