When is a fund removed from the HFRI or HFRX Indices and how is survivorship bias taken into consideration?
• It liquidates, or • The fund manager requests removal from the Database, or • It fails to satisfy the requirements for constituency (as outlined in Methodology section above) However, a fund’s past performance will always remain in its respective index up until the point of liquidation or manager-requested removal from HFR Database. In an effort to limit survivorship bias, HFR exhausts all efforts to receive a fund’s performance until the point of final liquidation. This convention provides the most robust characterization of results possible. Likewise, when a new fund is added to either Index, the historical performance of the new constituent fund will not affect the finalized historical performance of either index. And while the HFRX are finalized upon the date reported, the HFRI are subject to revisions for the trailing four months, although index results are unlikely to be meaningfully impacted by submissions later than 30 days from the end of the performance month. If a non-liqu
