HFRU Composite Index Gains 0.36% in April As Equity Strength Continues

Jun 5 2017 | 10:43pm ET

The HFRU Hedge Fund Composite Index, which measures UCITS compliant hedge funds, gained +0.34% in May following April’s +0.36%, according to Hedge Fund Research. 

The result slightly outperformed the broader hedge fund universe for the period, as HFR’s HFRX Global Hedge Fund Index gained +0.24%. The HFRU index reports an additional day in mid-month updates. 

All four of the family’s substrategy indexes were in the green for the month, HFR noted in a statement. Key details:

  • The HFRU Equity Hedge Index posted a gain of +0.58% for May from gains in exposure to Asia, Latin America and Europe, with concentration in Japan and China, which were partially offset by exposure to Global Healthcare and Russia. 
  • The HFRU Event Driven Index rose +0.28% in the month from gains in Global Special Situations equity and Distressed/Restructuring managers as global equity markets posted mixed performance for the period. 
  • The HFRU Relative Value Arbitrage Index was up +0.23% in May from gains in Global Credit managers and mixed performance of Convertible and European Yield Alternative – Real Estate strategies, partially offset by declines in Volatility managers. 
  • The HFRU Macro Index eked out a minor gain of +0.10% during the month as gains in systematic trend-following managers were partially offset by exposure to Volatility, Commodity and Currency 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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