HFRU Composite Up Slightly At Mid-Month on Equity, Relative Value Arbitrage Strategies

Oct 21 2016 | 6:45pm ET

The HFRU Hedge Fund Composite Index, which measures UCITS-compliant hedge funds, is up 0.14% so far in October, according to a mid-month update by Hedge Fund Research. The data, which is through October 19, reflects the rise in bond yields and mixed global equity markets early in the month. 

Accordingly, the index’s four sub-measures are a mixed mag at October’s halfway mark, with two in the green and two in the red. 

The company’s HFRU Relative Value Arbitrage Index is up +0.32% through mid-October as gains from volatility, global credit and sovereign strategies were partially offset by declines in European real estate managers. This index leads the group for the year-to-date, up 2.20%, HFR noted.

The HFRU Equity Hedge Index is up +0.29% so far this month, driven by exposure to emerging markets, with concentrations in China, Brazil and emerging Europe, which were only partially offset by exposure to technology, healthcare and developed Europe equities. 

On the negative side, Macro funds have continued their slide into October, with the HFRU Macro Index down -0.23% through mid-October. Declines in systematic trend-following managers, CTAs and commodity-focused strategies were only partially offset by gains in discretionary fixed income strategies. The HFRU Macro index is the only one of four currently showing a year-to-date loss, down -0.07%.

The HFRU Event Driven Index has fallen -0.42% so far in October, largely due to exposure to global merger arbitrage and special situations strategies as equity markets were mixed for the period, according to HFR. 

Created in 2008, the HFRU indices are Euro-denominated performance benchmarks comprised of hedge funds compliant with established UCITS guidelines. 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. 

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.


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