HFRU Composite Up 0.16% in September as UCITS Lag

Oct 5 2016 | 7:54pm ET

The HFRU Hedge Fund Composite Index, which measures UCITS compliant hedge funds, underperformed the broader hedge fund universe in September, according to an update from Hedge Fund Research.

The index gained only +0.16% for the period, compared with +0.55% in HFR’s hedge fund benchmark, the HFRX Global Hedge Fund Index. For the year to date, the HFRU Composite is up 0.47%, lagging its HFRX counterpart’s +1.22% YTD tally.

The family’s sub-measures were mixed, with two in positive territory, one flat and one losing ground. 

  • The HFRU Equity Hedge Index posted a gain of +0.54% for September, with global equities experiencing mixed performance. Gains were generated from exposure to emerging markets, with concentration in China and emerging Europe, technology and basic materials, which were only partially offset by developed European equities. 
  • The HFRU Event Driven Index posted a gain of +0.35%, with contributions from Distressed/Restructuring managers, Merger Arbitrage and Global Special Situations strategies, HFR said.
  • The HFRU Relative Value Arbitrage Index was basically unchanged for the month, as gains from Volatility, Convertible and Sovereign strategies were offset by declines in Global Credit, Emerging Markets debt and European Real Estate managers. 
  • The HFRU Macro Index posted a decline of -0.52%, driven by declines in systematic trend-following managers and discretionary fixed-income strategies only partially offset by commodity strategies. 

Created in 2008, the HFRU indices are Euro-denominated performance benchmarks comprised of hedge funds compliant with established UCITS guidelines. The HFRU Hedge Fund Composite Index is designed to be representative of the overall composition of the UCITS-compliant hedge fund universe. Currency-hedged versions of the HFRU family are also available. 

Rebalanced quarterly, the index 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 include UCITS compliance, net performance reporting, at least biweekly NAV reporting, and at least €10 million of assets under management or 6 months of track record. 

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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