HFRU Composite Index Gains 1.02% in Strong December For Equity, Macro UCITS Funds

Jan 6 2017 | 6:17pm ET

The HFRU Hedge Fund Composite Index, which measures UCITS compliant hedge funds, gained +1.02% in December and 0.82% for the year, according to an update from Hedge Fund Research.

The result outperformed the returns of the wider hedge fund universe for the month, as measured by the +0.86% gained in December by HFR’s HFRX Global Hedge Fund Index, but not the full year; the HFRX index gained 2.5% in 2016. 

Both alternative investment universes enjoyed continued momentum in global financial markets in December, as equity markets, the dollar, commodities and yields all rose. 

Highlights from the December HFRU report:

  • The HFRU Equity Hedge Index posted a gain of +1.18% for December from gains in exposure to Western and Eastern Europe, with concentration in Russia, UK and Italy, while declines were concentrated in exposure to China. The index closed 2016 up 0.57%.
  • The HFRU Macro Index rose +1.16% in December on gains in Discretionary Fixed Income and Currency strategies and systematic trend-following managers, only partially offset by declines of Volatility and Commodity strategies. For the year, the index was slightly down at -0.25%.
  • The HFRU Event Driven Index posted a gain of +0.76% for December from gains in exposure to Global Special Situations equity, Distressed/Restructuring and Merger Arbitrage strategies as European, US and Australian equity markets rose. The measure gained 1.84% for 2016.
  • The HFRU Relative Value Arbitrage Index rose +0.63% in December from exposure to Global Credit, European Yield Alternative – Real Estate and Convertible strategies which were partially offset by declines in Volatility managers. For 2016, it was up 2.25%.

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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