Indices

Eurekahedge Institutional 200

EQUAL WEIGHTED HEDGE FUND INDICES

ASSET WEIGHTED HEDGE FUND INDICES

SPECIALIST ALTERNATIVE FUND INDICES

INVESTIBLE BENCHMARK INDICES

METHODOLOGIES

INDEX PRESS RELEASES

The Eurekahedge Institutional 200 Index is designed to report the return of 200 passively selected large institutional absolute return funds. Index construction prioritizes constituent quality, allocation stability, and the mitigation of selection and survivorship bias. The index is equally weighted and is rebalanced at the beginning of each year. It is base weighted at 100 on 31 December 2007, does not contain duplicate funds and is denominated in local currencies. The index’s returns and values for the most recent 3 months shall remain provisional until all funds have reported their returns.

Initial requirement for fund selection
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.). Fund must have at least 12-months of performance data and AUM A fund must have a minimum of 12-months of track record to be selected for the index. Funds must exist in the database for at least 12-months Fund existence in the database must be at least 12-months to be selected for the index. Continuous track record A fund must have a continuous performance track record reported into our database to be selected for the index. Exclude non-hedge funds and uncategorized strategies Funds of funds, mutual funds, and uncategorized strategies (i.e. “Other”) are excluded. Funds that don’t charge performance fees are also excluded.

Initial requirement for fund selection

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.).

Fund must have at least 12-months of performance data and AUM

A fund must have a minimum of 12-months of track record to be selected for the index.

Funds must exist in the database for at least 12-months

Fund existence in the database must be at least 12-months to be selected for the index.

Continuous track record

A fund must have a continuous performance track record reported into our database to be selected for the index.
Exclude non-hedge funds and uncategorized strategies Funds of funds, mutual funds, and uncategorized strategies (i.e. “Other”) are excluded. Funds that don’t charge performance fees are also excluded.

Index creation methodology
AUM requirement Fund AUM must be among the largest 300 funds to be included in the final selection process of the index constituents. Prior constituent priority Prior year constituents that are among the largest 300 funds at rebalance remain in the index. Rules that prioritize prior constituents over new constituents increase index stability and minimize turnover. Funds per strategy capped at 80 or 40% of the max constituents The maximum number of funds to be included in the index per strategy is 80. This is to ensure that the index performance will not be heavily biased by a single strategy, consistent with the expected preferences of institutional hedge fund allocators. Survivorship bias adjustment In an event when the index turnover rate exceeds 15% in the 12 months preceding an index rebalancing, we will subtract a calibrated percentage on the monthly return of the index in the following year. This adjustment is designed to incorporate allocators’ ability to subtract or add a limited number of under or outperforming allocations in a given year.

Index creation methodology

AUM requirement

Fund AUM must be among the largest 300 funds to be included in the final selection process of the index constituents.

Prior constituent priority

Prior year constituents that are among the largest 300 funds at rebalance remain in the index. Rules that prioritize prior constituents over new constituents increase index stability and minimize turnover.

Funds per strategy capped at 80 or 40% of the max constituents

The maximum number of funds to be included in the index per strategy is 80. This is to ensure that the index performance will not be heavily biased by a single strategy, consistent with the expected preferences of institutional hedge fund allocators.

Survivorship bias adjustment

In an event when the index turnover rate exceeds 15% in the 12 months preceding an index rebalancing, we will subtract a calibrated percentage on the monthly return of the index in the following year. This adjustment is designed to incorporate allocators’ ability to subtract or add a limited number of under or outperforming allocations in a given year.

Other information of the index’s methodology
Monthly index values 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. Unlike other indices, they are not asset-weighted nor median returns. 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 The index is 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. 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.

Other information of the index’s methodology

Monthly index values

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. Unlike other indices, they are not asset-weighted nor median returns.

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

The index is 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.

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.

For more information on Eurekahedge indices, please contact us on +1 212 706 7020 (US office) or +65 6212 0925 (Singapore office), or email us at indices@eurekahedge.com.