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The Consistency Index & Prevailing Indices' Formulas

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 Formulas for the 18 Indices

1. The Hedge Fund Consistency Series (HFCI)

2. The Prevailing Return Series (PI)

3. The Prevailing Reward to Risk Series (PRR) 

 

No intent is made to:

1. Provide investment advice, 

2. Recommend a specific fund or type of funds.

3. Predict future return, risk or vol.

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The purpose of this article is to explain:

1. The purpose of the indices

2. The reasoning behind the indices

3. The formulas of each index

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The Formulas for the 18 Indices are:     Back to Table of Contents

 

Hedge Fund Consistency Index Series Formulas

1. The Hedge Fund Consistency Index (HFCI) for All Fund Categories. Index formula: ((return above 5% annualized return)/ Annualized Standard Deviation)+ (return above 5% return)/ Maximum Drawdown)+ (3 year annualized return above 5% return)/ Annualized Standard Deviation)+ (annualized above 5% return)/ Maximum Drawdown)) * ((# of months -36)/100)+1 .

   • Note: Maximum Drawdown and Standard Deviation are for the entire length of the track record.

2. The Hedge Fund Consistency Index (HFCI) for Funds that Employ Crypto Strategies.  Same as above applied to only funds that employ Crypto strategies.

3. The Hedge Fund Consistency Index (HFCI) for Funds that Employ Low Vol Strategies.  Same as above applied to only funds that employ low vol strategies.

4. The Hedge Fund Consistency Index (HFCI) for Funds that Employ High Vol Strategies.  Same as above applied to only funds that employ high vol Strategies.

5. The Hedge Fund Consistency Index (HFCI-10 Yr) for All Fund Categories for the last ten years for funds with at least 10-year records. However, Maximum Drawdown and Standard Deviation calculations included are for the entire length of the track record.

6. The Hedge Fund Consistency Index (HFCI-10 Yr) for Funds that Employ Low Vol Strategies.  Same as above applied to only funds that employ low vol strategies. However, Maximum Drawdown and Standard Deviation calculations included are for the entire length of the track record.

7. The Hedge Fund Consistency Index (HFCI-10 Yr) for Funds that Employ High Vol Strategies Same as above applied to only funds that employ high vol Strategies. However, Maximum Drawdown and Standard Deviation calculations included are for the entire length of the track record

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The Prevailing Return Index (PI) Formulas    Back to Table of Contents

1. The Prevailing Return (PI) for All Fund Categories. Compound annual growth rate (CAGR) for the lifetime of the fund+ Last 3 Year’s CAGR

2. The Prevailing Return (PI) for that Employ Low Vol Strategies.  Same as above applied to only funds that Employ low vol strategies.

3. The Prevailing Return (PI) for Funds that Employ High Vol Strategies.  Same as above applied to only funds that employ high vol Strategies.

4. The Prevailing Return (PI-10Yr) for All Fund Categories for only the last ten years and most recent three years for funds with at least 10-year records. However, Maximum Drawdown and Standard Deviation calculations included are for the entire length of the track record.

5. The Prevailing Return (PI-10Yr) for that Employ Low Vol Strategies.  Same as above applied to only funds that Employ low vol strategies. However, Maximum Drawdown and Standard Deviation calculations included are for the entire length of the track record.

6. The Prevailing Return (PI-10Yr) for Funds that Employ High Vol Strategies.  Same as above applied to only funds that employ high vol Strategies. However, Maximum Drawdown and Standard Deviation calculations included are for the entire length of the track record.

 

The Prevailing Reward to Risk Index (PRR)  Formulas   Back to Table of Contents

1. The Prevailing Reward to Risk (PRR) for All Fund Categories. (The  Compound annual growth rate (i.e.CAGR) of the lifetime of the fund+ Last 3 Years CAGR)/Max Drawdown 

2. The Prevailing Reward to Risk (PRR) for that Employ Low Vol Strategies.   Same as above applied to only funds that employ low vol strategies.

3. The Prevailing Reward to Risk (PRR) for Funds that Employ High Vol Strategies Same as above applied to only funds that employ high vol Strategies.

4. The Prevailing Reward to Risk (PRR-10Yr) for All Fund Categories for only the last ten years and most recent three years for funds with at least 10-year records. However, Maximum Drawdown and Standard Deviation calculations included are for the entire length of the track record.

5. The Prevailing Reward to Risk (PRR-10Yr) for that Employ Low Vol Strategies.  Same as above applied to only funds that employ low vol strategies. However, Maximum Drawdown and Standard Deviation calculations included are for the entire length of the track record.

6. The Prevailing Reward to Risk (PRR-10Yr for Funds that Employ High Vol Strategies.  Same as above applied to only funds that employ high vol Strategies. However, Maximum Drawdown and Standard Deviation calculations included are for the entire length of the track record.

 

 

Neither the Lower Vol or Higher Vol comparative screens are intended to reflect or predict risk or vol but may provide an alternative screen that may aid the initial selection process with regards to which funds may merit further investigation.

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No intent is made to:

1. Provide investment advice, 

2. Recommend a specific fund or type of funds.

3. Predict future risk or vol.

​

The purpose of this article is to explain:

1. The purpose of the indices

2. The reasoning behind the indices

3. The characteristics of each index

​

Past performance is not necessarily indicative of future results.

 

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