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Finding Free Historical Hedge Fund Index Data

Article Quant Q&A · Author: evanrsparks
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Summary

The document addresses a data problem for researchers working with hedge fund performance: broker-provided daily index histories may begin later than the period they need. The question asks for free daily levels of HFRX or a comparable index with history reaching back to 2007.

The answer points to EDHEC indexes as a free source, while noting that access requires creating an account. It also says some of the data is included in the R package PerformanceAnalytics. This is a practical lead for assembling historical alternative-investment data, not an explanation of index construction or a comparison of index series. The document does not identify which EDHEC indexes are available, confirm their precise start dates or daily frequency, discuss licensing, or assess differences from HFRX. Researchers should verify coverage and methodology before treating the series as interchangeable or using it in performance analysis.

Key ideas

  • EDHEC provides free hedge fund index data after account registration.
  • Some index data is also distributed through the PerformanceAnalytics R package.
  • The proposed sources may help extend historical performance research beyond a broker's available history.
  • The document does not verify the coverage, frequency, licensing, or comparability of the series.

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Multi-assetStatisticsBacktesting
Full text
# Historical Hedge Fund Index Data


# Historical Hedge Fund Index Data












Can anyone point me to some Hedge Fund index data - daily levels of the HFRX or something similar, that is available for free and has history back to 2007? The data available through my broker seems to only go back to beginning of 2010.

## Answer by Shane (score 6, accepted)

https://quant.stackexchange.com/a/1568

You can download EDHEC's indexes for free. You just need to create an account on their site (which is worth doing to get their research).

Some of their data is also bundled in the PerformanceAnalytics package in R.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.