HFRU Composite Index Gains 0.36% in April As Equity Markets Climb

May 3 2017 | 8:24pm ET

The HFRU Hedge Fund Composite Index, which measures UCITS compliant hedge funds, reversed early weakness during the month to end up +0.36% for April, according to Hedge Fund Research. 

The result slightly underperformed the broader hedge fund universe for the period, as HFR’s HFRX Global Hedge Fund Index gained +0.42%. The HFRU index reports an additional day in mid-month updates. 

Key details by strategy:

  • The HFRU Event Driven Index posted a gain of +0.65% for April from gains in Merger Arbitrage strategies, Global Special Situations equity and distressed/Restructuring managers, as global equity markets posted gains for the period. 
  • The HFRU Equity Hedge Index rose +0.64% for the month from gains in exposure to Emerging Asia and EMEA, with concentration in China and Turkey, and MENA which were partially offset by exposure to Brazil. 
  • The HFRU Relative Value Arbitrage Index was up +0.15% in April from gains in Convertible strategies and European Yield Alternative – Real Estate managers, offset by mixed performance in Global Credit strategies and declines in Volatility managers. 
  • The HFRU Macro Index declined -0.13% during the month due to drops in Commodity strategies and mixed performance in systematic trend-following managers despite gains in Macro Discretionary strategies. 

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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