UCITS Alternative Index Slips 0.10% on Macro, FX Losses

Dec 9 2015 | 6:42pm ET

The UCITS Alternative Index Blue Chip, which tracks the performance of the largest and most representative absolute return UCITS funds, slipped slightly last week after strong performance through the end of November, according to the latest data from Switzerland-based index provider Hedgeanalytics. 

The index lost 0.10% in the week through December 12, bringing the measure to +0.12% for the month and 0.94% for the year to date. Five substrategies were up in the period, led by an 0.40% gain in the UAIX Long/Short Equity Index. The UAIX Emerging Market Index was also positive, gaining 0.34% as the sector continued to recover from a brutal third quarter, while the UAIX Equity Market Neutral index gained 0.35%. UAIX indices for Volatility and Multi-Strategy UCITS were also up, gaining 0.22% and 0.04%, respectively. 

Conversely, seven substrategies were in the red for the week, led down by continued weakness among Macro-oriented funds. The UAIX Macro Index dropped 1.59%, followed by a 1.13% drop in the UAIX FX index and an 0.84% drop in the UAIX CTA index. Losses in quantitative UCITS are relatively surprising, given positive readings seen in other CTA-related indices earlier this month. 

Elsewhere, UAIX indices for Commodities, Fixed Income and Event Driven funds were flat-to-down, losing 0.07% and 0.10%.

With three reporting periods left in the year, the UAIX Multi-Strategy Index’s gain of 5.46% is likely to remain on top for 2015, following by 4.55% for Equity Market Neutral and 4.37% for Equity Long/Short. Unsurprisingly, the UAIX Commodities index remains down 5.54% YTD, but that’s half the losses suffered by the UAIX Event-Driven Index, which is down 11.33% so far in 2015. 

The UCITS Alternative Index series benchmarks the UCITS absolute return funds universe, tracking the performance of both global and strategy specific UCITS absolute return funds.

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