HFRU Composite Index Up 0.79% At Mid-Month on Macro, Equity Strategies

Dec 22 2016 | 8:35pm ET

The HFRU Hedge Fund Composite Index, which measures UCITS compliant hedge funds, is up +0.79% through December 19, according to an interim update from Hedge Fund Research.

The result slightly lags the performance of the wider hedge fund universe, as measured by HFR’s HFRX Global Hedge Fund Index, which gained +0.84% through December 16. Both universes were buoyed by strengthening global financial markets as the U.S. lifted interest rates and energy commodities surged, HFR said. 

For the year to date, the HFRU Hedge Fund Composite Index is now in positive territory, up +0.63%. 

Other strategy-specific measures within HFR’s UCITS family have performed as follows:

  • The HFRU Macro Index posted a gain of +1.15% through mid-December from gains in systematic trend-following managers and Discretionary Fixed Income and Currency managers only partially offset by declines of Commodity and Volatility strategies. 
  • The HFRU Equity Hedge Index posted a gain of +0.82% from gains in exposure to Western and Eastern Europe, Japan and Turkey while declines were concentrated in exposure to China and Latin America. 
  • The HFRU Event Driven Index posted a gain of +0.50% through mid-December from gains in exposure to Special Situations equity, Distressed/Restructuring and Global Merger Arbitrage strategies as US and European equity markets rose. 
  • The HFRU Relative Value Arbitrage Index posted a gain of +0.42% through mid-December from exposure to Global Credit, Yield Alternative – Real Estate and Convertible strategies which were partially offset by declines in Volatility managers. 

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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