HFR: UCITS-Compliant Hedge Funds Post Mixed Results in April

May 5 2016 | 9:09pm ET

The HFRU Hedge Fund Composite Index, which measures UCITS compliant hedge funds, rose 0.06% in April, bringing its year-to-date loss up minimally to -1.49%.

The measure’s four sub-indices were evenly split for the period, with the HFRU Relative Value Arbitrage and the HFRU Equity Hedge indices gaining +47% and +0.05%, respectively. On the other hand, the HFRU Event Driven and HFRU Macro indices lost -0.05% and -0.25%, respectively.

As with HFR’s non-UCITS measures, gains were led by resurgent energy commodities and by reversals in the yen and sterling against the U.S. dollar, HFR observed. Global equities posted largely mixed results, with gains in Europe being offset by weakness in Asia. The story of the month, however, was in commodities, with surges in Oil, Natural Gas, Aluminum, Platinum, Silver and several agricultural commodities continuing ascents that started in March. 

Key highlights of the HFRU index family’s performance in April:

  • The HFRU Relative Value Arbitrage Index gained in April from contributions from Energy Infrastructure, Global Convertible and Emerging Market Debt strategies, as credit and energy experienced gains, while equities had mixed performance. 
  • The HFRU Equity Hedge Index was marginally higher in April on weakness in Asian equity markets and gains in most developed markets. Gains were led by Fundamental Growth strategies with exposure to Emerging Markets and Natural Resources, with concentration in Brazil and Russia offset by exposure to China and select European equities. 
  • The HFRU Event Driven Index fell on mixed performance of European Special Situations equity and Global Merger Arbitrage strategies, as large acquisition deals such as Abbot/St. Jude and Comcast/Dreamworks were announced while the Allergan/Pfizer tax inversion merger broke under U.S. regulatory pressure. 
  • The HFRU Macro Index dropped due to losses in quantitative, trend-following, systematic CTAs strategies that were only partially offset by Discretionary Commodity and Currency strategies. Energy and Metals posted gains for the month. 

For the year to date, all four HFRU strategies are in the red, led by a -2.82% drop in the HFRU Equity Hedge Index. 

The HFRU Hedge Fund Composite Index is designed to be representative of the overall composition of the UCITS-compliant hedge fund universe. It is comprised of all eligible hedge fund strategies, including but not limited to equity hedge, event driven, macro, and relative value arbitrage, that meet certain criteria such as at least €10 million in AUM and six months of track record. The measure rebalances quarterly and was created in 2008, according to the company’s website. 

Established in 1992, HFR is a global leader in specializing in the indexation and analysis of hedge funds. The company produces the HFRI, HFRX and HFRU Indices, industry benchmarks for global hedge fund performance, and calculates over 100 indices ranging from industry-aggregate levels down to specific, niche areas of sub-strategy and regional investment focus.

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