Do the HFRI Monthly Indices include funds running sidepockets?
The HFRI Indices are calculated using net of all fees fund performance as reported to HFR Database, which may or may not include side pocket investments, subject to the below. In situations where different investors can experience different returns on the basis of truly different portfolio holdings & exposures (as opposed to differences in high water marks), we ask funds to report the return experience most closely approximating that of the collective (or most common) experience of investors; if possible, a blended performance which asset weights the different return series (with and without sidepocket) is most useful. Reporting conventions specific to a fund are also typically outlined in offering material. Alternatively, if the side pocket creates or is likely to create meaningful difference in returns for investors, we recommend the creation of distinct, multiple records within the Database (one set of performance without side pocket, one set with side pocket); for the purpose of in
