HFRU Composite Index Gains 0.44% In January On EM Gains

Feb 3 2017 | 11:00pm ET

The HFRU Hedge Fund Composite Index, which measures UCITS compliant hedge funds, gained +0.44% in January, according to an update from Hedge Fund Research. 

The result narrowly underperforming the wider hedge fund universe during the month, as measured by HFR’s HFRX Global Hedge Fund Index, which gained 0.5%.

Both segments of the alternative investment universe enjoyed continued momentum in global markets, as equities were mixed, the dollar fell and yields rose. 

The HFRU Equity Hedge Index posted a gain of +1.17% for January from gains in exposure to Emerging Markets with concentration in China and Brazil which were partially offset by declines in European strategies. 

The HFRU Event Driven Index posted a gain of +0.43% for the month from gains in exposure to Global Special Situations equity and Distressed/Restructuring managers as US equity markets rose for the period while European equities were mixed. 

The HFRU Relative Value Arbitrage Index posted lost -0.14% from declines in Volatility managers and European strategies which were only partially offset by mixed performance of Global Credit and Convertible strategies. 

The HFRU Macro Index posted a decline of -0.59% as gains in Commodity strategies and mixed performance of Discretionary Fixed Income managers were offset by declines in systematic trend-following and 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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