Chicago-based Hedge Fund Research has launched the HFRX Diversity Index, a benchmark designed to reflect the performance of the segment of the US hedge fund management industry owned by wo
Chicago-based Hedge Fund Research has launched the HFRX Diversity Index, a benchmark designed to reflect the performance of the segment of the US hedge fund management industry owned by women and members of minority groups.
The index covers hedge funds managed by firms that are more than 50 percent owned by US citizens who are either members of an ethnic minority group or women. Inclusion is based solely on equity ownership in the management company and excludes funds of hedge funds.
Since January 2003, the number of funds in the HFR Database run by minority- and women-owned managers has more than doubled to more than 100. The HFRX Diversity Index will be rebalanced on a quarterly basis.
‘We have seen a tremendous amount of interest from major pension fund sponsors and other institutional investors in an index that tracks the performance of minority- and women-owned hedge funds,’ says HFR president Kenneth J. Heinz. ‘We created the HFRX Diversity Index to provide these investors with a benchmark for understanding and analysing the performance of these firms.’
At a recent conference on minority hedge fund managers, Fred R. Buenrostro jr, chief executive of the largest US pension scheme, the California Public Employees’ Retirement System, said: ‘At CalPERS, we believe in diversity, we implement diversity, we have adopted policies that have included diversity, we have benefited from diversity and we believe diversity is just good business.’
Hedge fund index constituents selected from the universe of eligible funds represent a broad range of investment strategies, including equity hedge, event driven, macro, and relative value.
Constituent firms are generally smaller in terms of assets under management than the average firm in the HFRI universe. Around 60 percent of the eligible minority- and women-owned firms manage less than USD250m in hedge fund assets, compared with 53 percent of the firms in the total HFRI universe.
Using data from its subscriber database, HFR has calculated the historical performance of the HFRX Diversity Index back to January 1, 2003. Between inception and May 31 this year, the index has outperformed many broad-based indices of hedge fund performance, producing an annualised net return of 11.26 percent.
Founded in 1993, the HFR group is a leading provider of hedge fund data, research and indexation as well as asset management through companies including Hedge Fund Research, and HFR Asset Management, producing the HFR Database, an authoritative source of hedge fund performance and information, and distributing the HFRI monthly performance indices.