HFRU Composite Down -0.34% Through Mid-September As Markets Waver

Sep 22 2016 | 12:14am ET

The HFRU Hedge Fund Composite Index, which measures which measures UCITS compliant hedge funds, has dropped -0.34% through September 16, according to a mid-month update from Hedge Fund Research.

The index’s four sub-measures reflect the mixed environment for alternatives since the start of the month, as global financial markets declined and volatility returned. 

  • The HFRU Event Driven Index posted a gain of +0.46% through mid-September with contributions from Distressed/Restructuring managers, Global Special Situations and Merger Arbitrage strategies as global equity markets were mixed for the period. 
  • The HFRU Equity Hedge Index was basically unchanged through mid-September with global equities experiencing mixed performance as volatility returned to the markets. Gains in exposure to China and Europe were offset by Latin American and Japanese equities. 
  • The HFRU Relative Value Arbitrage Index posted a decline of -0.42% through mid-September as gains from Volatility and Convertible managers were offset by declines in European Real Estate, Global Credit and Emerging Markets strategies. 
  • The HFRU Macro Index posted a decline of -1.12% through mid-September from declines in systematic trend-following managers and discretionary fixed income strategies as the U.S. dollar declined against most currencies and commodities traded in a wide range. 
  • For the year to date, the HFRU Relative Value Arbitrage index is leading the pack, up 1.47%, while the HFRU Equity Hedge index is down the most of the group at -0.74%.

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.

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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